Economic time series : modeling and seasonality /
Periodic Modeling of Economic Time SeriesA Multivariate Periodic Unobserved Components Time Series Analysis for Sectoral U.S. EmploymentSiem Jan Koopman, Marius Ooms, and Irma HindrayantoSeasonal Heteroskedasticity in Time Series Data: Modeling, Estimation, and TestingThomas M. Trimbur and William R...
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| Corporate Authors: | , |
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| Format: | eBook |
| Language: | English |
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Boca Raton, FL :
CRC Press,
2012.
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| Edition: | 1. |
| Series: | Online access with subscription: Proquest Ebook Central.
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| Online Access: | Connect to the full text of this electronic book |
Table of Contents:
- Front Cover; Contents; Preface; Editors; Contributors; Part I: Periodic Modeling of Economic Time Series; 1. A Multivariate Periodic Unobserved Components Time Series Analysis for Sectoral U.S. Employment; 2. Seasonal Heteroskedasticity in Time Series Data: Modeling, Estimation, and Testing; 3. Choosing Seasonal Autocovariance Structures: PARMA or SARMA?; Part II: Estimating Time Series Components with Misspecified Models; 4. Specification and Misspecification of Unobserved Components Models; 5. Error in Business Cycle Estimates Obtained from Seasonally Adjusted Data.
- 6. Frequency Domain Analysis of Seasonal Adjustment Filters Applied to Periodic Labor Force Survey SeriesPart III: Quantifying Error in X-11 Seasonal Adjustments; 7. Comparing Mean Squared Errors of X-12-ARIMA and Canonical ARIMA Model-Based Seasonal Adjustments; 8. Estimating Variance in X-11 Seasonal Adjustment; Part IV: Practical Problems in Seasonal Adjustment; 9. Asymmetric Filters for Trend-Cycle Estimation; 10. Restoring Accounting Constraints in Time Series-Methods and Software for a Statistical Agency; 11. Theoretical and Real Trading-Day Frequencies.
- 12. Applying and Interpreting Model-Based Seasonal Adjustment-The Euro-Area Industrial Production SeriesPart V: Outlier Detection and Modeling Time Series with Extreme Values; 13. Additive Outlier Detection in Seasonal ARIMA Models by a Modified Bayesian Information Criterion; 14. Outliers in GARCH Processes; 15. Constructing a Credit Default Swap Index and Detecting the Impact of the Financial Crisis; Part VI: Alternative Models for Seasonal and Other Time Series Components; 16. Normally Distributed Seasonal Unit Root Tests; 17. Bayesian Seasonal Adjustment of Long Memory Time Series.
- 18. Bayesian Stochastic Model Specification Search for Seasonal and Calendar EffectsPart VII: Modeling and Estimation for Nonseasonal Economic Time Series; 19. Nonparametric Estimation of the Innovation Variance and Judging the Fit of ARMA Models; 20. Functional Model Selection for Sparse Binary Time Series with Multiple Inputs; 21. Models for High Lead Time Prediction.