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Quantitative methods (economics) --- Econometrics --- 330.115 --- -330.015195 --- Economics, Mathematical --- Statistics --- Econometrie --- Econometrie. --- 330.115 Econometrie --- Econometrics - Textbooks --- -Econometrics --- -Econometrie. --- -Quantitative methods (economics)

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This book has been prepared during my work as a research assistant at the Institute for Statistics and Econometrics of the Economics Department at the University of Bielefeld, Germany. It was accepted as a Ph.D. thesis titled "Term Structure Modeling and Estimation in a State Space Framework" at the Department of Economics of the University of Bielefeld in November 2004. It is a pleasure for me to thank all those people who have been helpful in one way or another during the completion of this work. First of all, I would like to express my gratitude to my advisor Professor Joachim Frohn, not only for his guidance and advice throughout the com­ pletion of my thesis but also for letting me have four very enjoyable years teaching and researching at the Institute for Statistics and Econometrics. I am also grateful to my second advisor Professor Willi Semmler. The project I worked on in one of his seminars in 1999 can really be seen as a starting point for my research on state space models. I thank Professor Thomas Braun for joining the committee for my oral examination.

Quantitative methods (economics) --- Economics --- Financial analysis --- economie --- financiële analyse --- econometrie

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In modern economies, time series play a crucial role at all levels of activity. They are used by decision makers to plan for a better future, by governments to promote prosperity, by central banks to control inflation, by unions to bargain for higher wages, by hospital, school boards, manufacturers, builders, transportation companies, and by consumers in general. A common misconception is that time series data originate from the direct and straightforward compilations of survey data, censuses, and administrative records. On the contrary, before publication time series are subject to statistical adjustments intended to facilitate analysis, increase efficiency, reduce bias, replace missing values, correct errors, and satisfy cross-sectional additivity constraints. Some of the most common adjustments are benchmarking, interpolation, temporal distribution, calendarization, and reconciliation. This book discusses the statistical methods most often applied for such adjustments, ranging from ad hoc procedures to regression-based models. The latter are emphasized, because of their clarity, ease of application, and superior results. Each topic is illustrated with many real case examples. In order to facilitate understanding of their properties and limitations of the methods discussed, a real data example, the Canada Total Retail Trade Series, is followed throughout the book. This book brings together the scattered literature on these topics and presents them using a consistent notation and a unifying view. The book will promote better procedures by large producers of time series, e.g. statistical agencies and central banks. Furthermore, knowing what adjustments are made to the data and what technique is used and how they affect the trend, the business cycles and seasonality of the series, will enable users to perform better modeling, prediction, analysis and planning. This book will prove useful to graduate students and final year undergraduate students of time series and econometrics, as well as researchers and practitioners in government institutions and business. Estela Bee Dagum is Professor at the Faculty of Statistical Science of the University of Bologna, Italy, and former Director of the Time Series Research and Analysis division of Statistics Canada, Ottawa, Canada. Dr. Dagum was awarded an Honorary Doctoral Degree from the University of Naples "Parthenope", is a Fellow of the American Statistical Association (ASA) and Honorary Fellow of the International Institute of Forecasters (IIF), the first recipient of the ASA Julius Shiskin Award, the IIF Crystal Globe Award, Elected Member of the International Statistical Institute (ISI), Elected Member of the Academy of Science of the Institute of Bologna, and former President of the Interamerican Statistical Institute (IASI) and the International Institute of Forecasters. Dr. Dagum is the author of the X11-ARIMA seasonal adjustment method widely applied by statistical agencies and central banks. Pierre A. Cholette is a Senior Methodologist of the Time Series Research Centre of the Business Survey Methodology Division at Statistics Canada, Ottawa, Canada. He is the author of BENCH, a benchmarking software widely applied by statistical agencies, Central Banks and other government institutions.

Statistical science --- Mathematical statistics --- Business economics --- statistiek --- econometrie --- statistisch onderzoek

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The importance of empirical economics and econometric methods has greatly in­ creased during the last 20 years due to the availability of better data and the improved performance of computers. In an information-driven society such as ours we need quickly to obtain complete and convincing statistical results. This is only possible if the appropriate econometric methods are applied. Traditional econometric analysis concentrates on classical methods which are far from suitable for handling actual economic problems. They can only be used as a starting point for students to learn basic econometrics and as a reference point for more advanced methods. Modern Econometrics tries to develop new approaches from an economic perspective. A consequence is that we have less of a unified econometric theory than in former times. Specific branches which require specific methods have been established. Nowadays, nobody has complete knowledge of every area of econometrics. If someone is interested to learn more about a field, relatively unknown to them, they will require support.

Quantitative methods (economics) --- Mathematical statistics --- Business economics --- statistiek --- econometrie

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Statistical science --- Mathematical statistics --- Business economics --- statistiek --- econometrie --- statistisch onderzoek