Economic time series : modeling and seasonality / edited by William R. Bell, Scott H. Holan, Tucker S. McElroy.

Format:

Book

Contributor:

Bell, William R., 1943-

Holan, Scott H.

McElroy, Tucker.

Language:

English

Subjects (All):

Seasonal variations (Economics)--Mathematical models.

Seasonal variations (Economics).

Time-series analysis--Mathematical models.

Time-series analysis.

Econometrics.

Economics, Mathematical.

Physical Description:

xvii, 535 pages : illustrations ; 25 cm

Place of Publication:

Boca Raton, FL : CRC Press, [2012]

Summary:

Statisticians from academia and government agencies present methodological studies that illustrate the cross-fertilization between time series modeling and seasonal adjustment. They cover the periodic modeling of economic time series, estimating time series components with misspecific models, quantifying error in X-11 seasonal adjustments, practical problems in seasonal adjustment, outlier detection and modeling time series with extreme values, alternative models for seasonal and other time series components, and modeling and estimation for non-seasonal economic time series. Annotation ©2012 Book News, Inc., Portland, OR (booknews.com)

Contents:

I Periodic Modeling of Economic Time Series 1

1 A Multivariate Periodic Unobserved Components Time Series Analysis for Sectoral U.S. Employment / Siem Jan Koopman Koopman, Siem Jan, Marius Ooms Ooms, Marius, Irma Hindrayanto Hindrayanto, Irma 3

2 Seasonal Heteroskedasticity in Time Series Data: Modeling, Estimation, and Testing / Thomas M. Trimbur Trimbur, Thomas M., William R. Bell Bell, William R. 37

3 Choosing Seasonal Autocovariance Structures: PARMA or SARMA? / Robert Lund Lund, Robert 63

II Estimating Time Series Components with Misspecified Models 81

4 Specification and Misspecification of Unobserved Components Models / Davide Delle Monache Monache, Davide Delle, Andrew Harvey Harvey, Andrew 83

5 Error in Business Cycle Estimates Obtained from Seasonally Adjusted Data / Tucker S. McBlroy McBlroy, Tucker S., Scott H. Holan Holan, Scott H. 109

6 Frequency Domain Analysis of Seasonal Adjustment Filters Applied to Periodic Labor Force Survey Series / Richard B. Tiller Tiller, Richard B. 135

III Quantifying Error in X-11 Seasonal Adjustments 159

7 Comparing Mean Squared Errors of X-12-ARIMA and Canonical ARIMA Model-Based Seasonal Adjustments / William R. Bell Bell, William R., Yea-Jane Chu Chu, Yea-Jane, George C. Tiao Tiao, George C. 161

8 Estimating Variance in X-11 Seasonal Adjustment / Stuart Scott Scott, Stuart, Danny Pfeffermann Pfeffermann, Danny, Michail Sverchkov Sverchkov, Michail 185

IV Practical Problems in Seasonal Adjustment 211

9 Asymmetric Filters for Trend-Cycle Estimation / Estela Bee Dagum Dagum, Estela Bee, Alessandra Luati Luati, Alessandra 213

10 Restoring Accounting Constraints in Time Series-Methods and Software for a Statistical Agency / Benoît Quenneville Quenneville, Benoît, Susie Fortier Fortier, Susie 231

11 Theoretical and Real Trading-Day Frequencies / Dominique Ladiray Ladiray, Dominique 255

12 Applying and Interpreting Model-Based Seasonal Adjustment-The Euro-Area Industrial Production Series / Agustín Maravall Maravall, Agustín, Domingo Pérez Pérez, Domingo 281

V Outlier Detection and Modeling Time Series with Extreme Values 315

13 Additive Outlier Detection in Seasonal ARIMA Models by a Modified Bayesian Information Criterion / Pedro Galeano Galeano, Pedro, Daniel Peña Peña, Daniel 317

14 Outliers in GARCH Processes / Luiz K. Hotta Hotta, Luiz K., Ruey S. Tsay Tsay, Ruey S. 337

15 Constructing a Credit Default Swap Index and Detecting the Impact of the Financial Crisis / Yoko Tanokura Tanokura, Yoko, Hiroshi Tsuda Tsuda, Hiroshi, Seisho Sato Sato, Seisho, Genshiro Kitagawa Kitagawa, Genshiro 359

VI Alternative Models for Seasonal and Other Time Series Components 381

16 Normally Distributed Seasonal Unit Root Tests / David A. Dickey Dickey, David A. 383

17 Bayesian Seasonal Adjustment of Long Memory Time Series / Scott H. Holan Holan, Scott H., Tucker S. McElroy McElroy, Tucker S. 403

18 Bayesian Stochastic Model Specification Search for Seasonal and Calendar Effects / Tommaso Proietti Proietti, Tommaso, Stefano Grassi Grassi, Stefano 431

VII Modeling and Estimation for Nonseasonal Economic Time Series 457

19 Nonparametric Estimation of the Innovation Variance and Judging the Fit of ARMA Models / P. Kohli Kohli, P., M. Pourahmadi Pourahmadi, M. 459

20 Functional Model Selection for Sparse Binary Time Series with Multiple Inputs / Catherine Y. Tu Tu, Catherine Y., Dong Song Song, Dong, F. Jay Breidt Breidt, F. Jay, Theodore W. Berger Berger, Theodore W., Haonan Wang Wang, Haonan 477

21 Models for High Lead Time Prediction / G. Tunnicliffe Wilson Wilson, G. Tunnicliffe, John Haywood Haywood, John 499.

Notes:

Includes bibliographical references and index.

ISBN:

9781439846575

143984657X

OCLC:

587104309