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Revision in ARIMA signal extraction
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ISBN: 845052928X 9788450529289 Year: 1986 Volume: 8601 Publisher: Madrid: Banco de España,

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Book
The econometric analysis of seasonal time series
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ISBN: 052156588X 0521562600 1139164007 9780521565882 9781139164009 9780521562607 Year: 2001 Publisher: Cambridge Cambridge University Press

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Eric Ghysels and Denise R. Osborn provide a thorough and timely review of the recent developments in the econometric analysis of seasonal economic time series, summarizing a decade of theoretical advances in the area. The authors discuss the asymptotic distribution theory for linear nonstationary seasonal stochastic processes. They also cover the latest contributions to the theory and practice of seasonal adjustment, together with its implications for estimation and hypothesis testing. Moreover, a comprehensive analysis of periodic models is provided, including stationary and nonstationary cases. The book concludes with a discussion of some nonlinear seasonal and periodic models. The treatment is designed for an audience of researchers and advanced graduate students.

The structural econometric time series analysis approach
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ISBN: 9780521814072 0521814073 9780511493171 9780521187435 0511230451 0511231229 9780511231223 9780511228827 0511228821 0511229666 9780511229664 9780511230455 0511493177 9786610702930 6610702934 0521187435 1107159075 1280702931 0511331533 Year: 2004 Publisher: Cambridge Cambridge University Press

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Bringing together a collection of previously published work, this 2004 book provides a discussion of major considerations relating to the construction of econometric models that work well to explain economic phenomena, predict future outcomes and be useful for policy-making. Analytical relations between dynamic econometric structural models and empirical time series MVARMA, VAR, transfer function, and univariate ARIMA models are established with important application for model-checking and model construction. The theory and applications of these procedures to a variety of econometric modeling and forecasting problems as well as Bayesian and non-Bayesian testing, shrinkage estimation and forecasting procedures are also presented and applied. Finally, attention is focused on the effects of disaggregation on forecasting precision and the Marshallian Macroeconomic Model that features demand, supply and entry equations for major sectors of economies is analysed and described. This volume will prove invaluable to professionals, academics and students alike.

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