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Economic time series : modeling and seasonality / / edited by William R. Bell, Scott H. Holan, Tucker S. McElroy
Economic time series : modeling and seasonality / / edited by William R. Bell, Scott H. Holan, Tucker S. McElroy
Pubbl/distr/stampa Boca Raton, Fla. : , : CRC Press, , 2012
Descrizione fisica 1 online resource (544 p.)
Disciplina 330.01/51955
Altri autori (Persone) BellWilliam R. <1943->
HolanScott H
McElroyTucker
Soggetto topico Econometrics
Economics, Mathematical
Seasonal variations (Economics) - Mathematical models
Time-series analysis - Mathematical models
Soggetto genere / forma Electronic books.
ISBN 0-429-06324-5
1-4398-4658-8
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto 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
Record Nr. UNINA-9910461604403321
Boca Raton, Fla. : , : CRC Press, , 2012
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Economic time series : modeling and seasonality / / edited by William R. Bell, Scott H. Holan, Tucker S. McElroy
Economic time series : modeling and seasonality / / edited by William R. Bell, Scott H. Holan, Tucker S. McElroy
Pubbl/distr/stampa Boca Raton, Fla. : , : CRC Press, , 2012
Descrizione fisica 1 online resource (544 p.)
Disciplina 330.01/51955
Altri autori (Persone) BellWilliam R. <1943->
HolanScott H
McElroyTucker
Soggetto topico Econometrics
Economics, Mathematical
Seasonal variations (Economics) - Mathematical models
Time-series analysis - Mathematical models
ISBN 0-429-06324-5
1-4398-4658-8
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto 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
Record Nr. UNINA-9910789936903321
Boca Raton, Fla. : , : CRC Press, , 2012
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Economic time series : modeling and seasonality / / edited by William R. Bell, Scott H. Holan, Tucker S. McElroy
Economic time series : modeling and seasonality / / edited by William R. Bell, Scott H. Holan, Tucker S. McElroy
Pubbl/distr/stampa Boca Raton, Fla. : , : CRC Press, , 2012
Descrizione fisica 1 online resource (544 p.)
Disciplina 330.01/51955
Altri autori (Persone) BellWilliam R. <1943->
HolanScott H
McElroyTucker
Soggetto topico Econometrics
Economics, Mathematical
Seasonal variations (Economics) - Mathematical models
Time-series analysis - Mathematical models
ISBN 0-429-06324-5
1-4398-4658-8
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto 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
Record Nr. UNINA-9910799902603321
Boca Raton, Fla. : , : CRC Press, , 2012
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Economic time series : modeling and seasonality / / edited by William R. Bell, Scott H. Holan, Tucker S. McElroy
Economic time series : modeling and seasonality / / edited by William R. Bell, Scott H. Holan, Tucker S. McElroy
Edizione [1st ed.]
Pubbl/distr/stampa Boca Raton, FL, : CRC Press, 2012
Descrizione fisica 1 online resource (544 p.)
Disciplina 330.01/51955
Altri autori (Persone) BellWilliam R. <1943->
HolanScott H
McElroyTucker
Soggetto topico Econometrics
Economics, Mathematical
Seasonal variations (Economics) - Mathematical models
Time-series analysis - Mathematical models
ISBN 1-04-018745-5
0-429-06324-5
1-4398-4658-8
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto 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
Record Nr. UNINA-9910956262903321
Boca Raton, FL, : CRC Press, 2012
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Time Series Econometrics [[electronic resource] ] : A Concise Introduction / / by Terence C. Mills
Time Series Econometrics [[electronic resource] ] : A Concise Introduction / / by Terence C. Mills
Autore Mills Terence C
Edizione [1st ed. 2015.]
Pubbl/distr/stampa London : , : Palgrave Macmillan UK : , : Imprint : Palgrave Macmillan, , 2015
Descrizione fisica 1 online resource (169 p.)
Disciplina 330.01/51955
Collana Palgrave Texts in Econometrics
Soggetto topico Economic theory
Statistics 
Econometrics
Finance
Management
Economic Theory/Quantitative Economics/Mathematical Methods
Statistical Theory and Methods
Finance, general
ISBN 1-137-52533-9
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Introduction -- Modelling stationary time series : the ARMA approach -- Non-stationary time series : differencing and ARIMA modelling -- Unit roots and related topics -- Modelling volatility using GARCH processes -- Forecasting with univariate models -- Modelling multivariate time series : vector autoregressions and Granger causality -- Cointegration in single equations -- Cointegration in systems of equations -- Extensions and developments.
Record Nr. UNINA-9910797650303321
Mills Terence C  
London : , : Palgrave Macmillan UK : , : Imprint : Palgrave Macmillan, , 2015
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Time Series Econometrics : A Concise Introduction / / by Terence C. Mills
Time Series Econometrics : A Concise Introduction / / by Terence C. Mills
Autore Mills Terence C
Edizione [1st ed. 2015.]
Pubbl/distr/stampa London : , : Palgrave Macmillan UK : , : Imprint : Palgrave Macmillan, , 2015
Descrizione fisica 1 online resource (169 p.)
Disciplina 330.01/51955
Collana Palgrave Texts in Econometrics
Soggetto topico Econometrics
Statistics
Finance
Management
Quantitative Economics
Statistical Theory and Methods
Financial Economics
ISBN 9781137525338
1137525339
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Introduction -- Modelling stationary time series : the ARMA approach -- Non-stationary time series : differencing and ARIMA modelling -- Unit roots and related topics -- Modelling volatility using GARCH processes -- Forecasting with univariate models -- Modelling multivariate time series : vector autoregressions and Granger causality -- Cointegration in single equations -- Cointegration in systems of equations -- Extensions and developments.
Record Nr. UNINA-9910968658403321
Mills Terence C  
London : , : Palgrave Macmillan UK : , : Imprint : Palgrave Macmillan, , 2015
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui