Economic Time Series | Modeling and Seasonality | William R. Bell, Sco

Book

Economic Time Series

ABSTRACT

Economic Time Series: Modeling and Seasonality is a focused resource on analysis of economic time series as pertains to modeling and seasonality, presenting cutting-edge research that would otherwise be scattered throughout diverse peer-reviewed journals. This compilation of 21 chapters showcases the cross-fertilization between the fields of time s

TABLE OF CONTENTS

part 1|2 pages

Part I: Periodic Modeling of Economic Time Series

chapter 1|34 pages

A Multivariate Periodic Unobserved Components Time Series Analysis for Sectoral U.S. Employment

chapter 2|26 pages

Seasonal Heteroskedasticity in Time Series Data: Modeling, Estimation, and Testing

chapter 3|18 pages

Choosing Seasonal Autocovariance Structures: PARMA or SARMA?

part 2|2 pages

Estimating Time Series Components with Misspeciﬁed Models

chapter 4|26 pages

Speciﬁcation and Misspeciﬁcation of Unobserved Components Models

chapter 5|26 pages

Error in Business Cycle Estimates Obtained from Seasonally Adjusted Data

chapter 6|24 pages

Frequency Domain Analysis of Seasonal Adjustment Filters Applied to Periodic Labor Force Survey Series

part 3|2 pages

Part III: Quantifying Error in X-11 Seasonal Adjustments

chapter 7|24 pages

Comparing Mean Squared Errors of X-12-ARIMA and Canonical ARIMA Model-Based Seasonal Adjustments

chapter 8|26 pages

Estimating Variance in X-11 Seasonal Adjustment

part 4|2 pages

Part IV: Practical Problems in Seasonal Adjustment

chapter 9|18 pages

Asymmetric Filters for Trend-Cycle Estimation

chapter 10|24 pages

Restoring Accounting Constraints in Time Series— Methods and Software for a Statistical Agency

chapter 11|26 pages

Theoretical and Real Trading-Day Frequencies

chapter 12|34 pages

Applying and Interpreting Model-Based Seasonal Adjustment—The Euro-Area Industrial Production Series

part 5|2 pages

Part V: Outlier Detection and Modeling Time Series with Extreme Values

chapter 13|20 pages

Additive Outlier Detection in Seasonal ARIMA Models by a Modiﬁed Bayesian Information Criterion Pedro Galeano and Daniel Pen˜a

chapter 14|22 pages

Outliers in GARCH Processes

chapter 15|22 pages

Constructing a Credit Default Swap Index and Detecting the Impact of the Financial Crisis

part 6|2 pages

Part VI: Alternative Models for Seasonal and Other Time Series Components

chapter 16|20 pages

Normally Distributed Seasonal Unit Root Tests

chapter 17|28 pages

Bayesian Seasonal Adjustment of Long Memory Time Series

chapter 18|26 pages

Bayesian Stochastic Model Speciﬁcation Search for Seasonal and Calendar Eﬀects

part 7|2 pages

Part VII: Modeling and Estimation for Nonseasonal Economic Time Series

chapter 19|18 pages

Nonparametric Estimation of the Innovation Variance and Judging the Fit of ARMA Models

chapter 20|22 pages

Functional Model Selection for Sparse Binary Time Series with Multiple Inputs

chapter 21|27 pages

Models for High Lead Time Prediction