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Economic Time Series: Modeling and Seasonality

Publisher: 
Chapman & Hall/CRC
Number of Pages: 
535
Price: 
99.95
ISBN: 
9781439846575
Date Received: 
Wednesday, March 28, 2012
Reviewable: 
No
Include In BLL Rating: 
No
Reviewer Email Address: 
William R. Bell, Scott H. Holan, and Tucker S. McElroy, editors
Publication Date: 
2012
Format: 
Hardcover
Category: 
Anthology

Periodic Modeling of Economic Time Series
A Multivariate Periodic Unobserved Components Time Series Analysis for Sectoral U.S. Employment
Siem Jan Koopman, Marius Ooms, and Irma Hindrayanto
Seasonal Heteroskedasticity in Time Series Data: Modeling, Estimation, and Testing
Thomas M. Trimbur and William R. Bell
Choosing Seasonal Autocovariance Structures: PARMA or SARMA?
Robert Lund

Estimating Time Series Components with Misspecified Models
Specification and Misspecification of Unobserved Components Models
Davide Delle Monache and Andrew Harvey
The Error in Business Cycle Estimates Obtained From Seasonally Adjusted Data
Tucker S. McElroy and Scott H. Holan
Frequency Domain Analysis of Seasonal Adjustment Filters Applied To Periodic Labor Force Survey Series
Richard B. Tiller

Quantifying Error in X-11 Seasonal Adjustments
Comparing Mean Squared Errors of X-12-ARIMA and Canonical ARIMA Model-Based Seasonal Adjustments
William R. Bell, Yea-Jane Chu, and George C. Tiao
Estimating Variance in X-11 Seasonal Adjustment
Stuart Scott, Danny Pfeffermann, and Michail Sverchkov

Practical Problems in Seasonal Adjustment
Asymmetric Filters for Trend-Cycle Estimation
Estela Bee Dagum and Alessandra Luati
Restoring Accounting Constraints in Time Series: Methods and Software for a Statistical Agency
Benoit Quenneville and Susie Fortier
Theoretical and Real Trading-Day Frequencies
Dominique Ladiray
Applying and Interpreting Model-Based Seasonal Adjustment: The Euro-Area Industrial Production Series
Agustín Maravall and Domingo Pérez

Outlier Detection and Modeling Time Series with Extreme Values
Additive Outlier Detection in Seasonal ARIMA Models by a Modified Bayesian Information Criterion
Pedro Galeano and Daniel Peña
Outliers in GARCH Processes
Luiz K. Hotta and Ruey S. Tsay
Constructing a Credit Default Swap Index and Detecting the Impact of the Financial Crisis
Yoko Tanokura, Hiroshi Tsuda, Seisho Sato, and Genshiro Kitagawa

Alternative Models for Seasonal and Other Time Series Components
Normally Distributed Seasonal Unit Root Tests
David A. Dickey
Bayesian Seasonal Adjustment of Long-Memory Time Series
Scott H. Holan and Tucker S. McElroy
Bayesian Stochastic Model Specification Search for Seasonal and Calendar Effects
Tommaso Proietti and Stefano Grassi

Modeling and Estimation for Nonseasonal Economic Time Series
Nonparametric Estimation of the Innovation Variance and Judging the Fit of ARMA Models
Priya Kohli and Mohsen Pourahmadi
Functional Model Selection for Sparse Binary Time Series with Multiple Inputs
Catherine Y. Tu, Dong Song, F. Jay Breidt, Theodore W. Berger, and Haonan Wang
Models for High Lead Time Prediction
Granville Tunnicliffe-Wilson and John Haywood

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