E-Book, Englisch, 284 Seiten
ISBN: 978-1-4832-7774-5
Verlag: Elsevier Reference Monographs
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)
Autoren/Hrsg.
Weitere Infos & Material
1;Front Cover;1
2;Seasonality in Regression;4
3;Copyright Page;5
4;Table of Contents;8
5;Preface;12
6;Chapter 1. Introduction and Historical Perspective;16
6.1;1.1 Introduction;16
6.2;1.2 The Historical Perspective;22
7;Chapter 2. The Definition of Seasonality;30
7.1;2.1 Introduction;30
7.2;2.2 Some Seasonal Models and Their Characteristics;30
7.3;2.3 The Definition of Seasonality;36
7.4;2.4 Some Illustrative Examples;38
7.5;2.5 Conclusions;50
8;Chapter 3. Evaluation Criteria for Seasonal Adjustment Procedures;51
8.1;3.1 Introduction;51
8.2;3.2 Evaluation Criteria for Seasonal Adjustment Procedures;52
8.3;3.3 Conclusions;59
9;Chapter 4. The Errors-in-Variables Model;60
9.1;4.1 Introduction;60
9.2;4.2 The Errors-in-Variables Model;60
9.3;4.3 Estimation, Diagnostic Checking, and Inference;68
9.4;4.4 Applications;95
9.5;4.5 Conclusions;102
10;Chapter 5. The Errors-in-Variables Model: Application of Officially Adjusted Series;103
10.1;5.1 Introduction;103
10.2;5.2 Officially Applied Seasonal Adjustment Methods;104
10.3;5.3 A General Evaluation of Officially Applied Seasonal Adjustment Methods;110
10.4;5.4 An Evaluation in the Context of a Regression Model;114
10.5;5.5 Applications;130
10.6;5.6 Conclusions;134
11;Chapter 6. The Time-Varying Parameter Model;135
11.1;6.1 Introduction;135
11.2;6.2 Models with Seasonally Varying Coefficients;136
11.3;6.3 Estimation, Diagnostic Checking, and Inference;140
11.4;6.4 Applications;153
11.5;6.5 Conclusions;173
12;Chapter 7. The Integrated Econometric Time-Series Procedure;175
12.1;7.1 Introduction;175
12.2;7.2 The Basic Models;176
12.3;7.3 Estimation, Diagnostic Checking, and Inference;185
12.4;7.4 Applications;208
12.5;7.5 Conclusions;227
13;Chapter 8. Conclusions;229
13.1;8.1 Introduction;229
13.2;8.2 The Errors-in-Variables Approach;230
13.3;8.3 The Time-Varying Parameters Approach;231
13.4;8.4 The Integrated Approach;232
14;Appendix A: Other Officially Applied Seasonal Adjustment Methods: A Survey;236
15;Appendix B: The Autocovariance Generating Functions of ARMA Models;242
16;Appendix C: A Tool Kit for the Formulation of Univariate and Multivariate Time-Series Models;244
17;Appendix D: A Collection of Time Series Used in the Applications;255
18;References;270
19;Index;282
