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 | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
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 | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
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 | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
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 | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
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 | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
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 | ||
| Lo trovi qui: Univ. Federico II | ||
| ||