Modelling Trends And Cycles In Economic Time Series
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Modelling Trends And Cycles In Economic Time Series
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Author : Terence C. Mills
language : en
Publisher: Springer Nature
Release Date : 2021-07-29
Modelling Trends And Cycles In Economic Time Series written by Terence C. Mills and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-07-29 with Business & Economics categories.
Modelling trends and cycles in economic time series has a long history, with the use of linear trends and moving averages forming the basic tool kit of economists until the 1970s. Several developments in econometrics then led to an overhaul of the techniques used to extract trends and cycles from time series. In this second edition, Terence Mills expands on the research in the area of trends and cycles over the last (almost) two decades, to highlight to students and researchers the variety of techniques and the considerations that underpin their choice for modelling trends and cycles.
Modelling Trends And Cycles In Economic Time Series
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Author : T. Mills
language : en
Publisher: Springer
Release Date : 2003-05-15
Modelling Trends And Cycles In Economic Time Series written by T. Mills and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-05-15 with Business & Economics categories.
Modelling trends and cycles in economic time series has a long history, with the use of linear trends and moving averages forming the basic tool kit of economists until the 1970s. Several developments in econometrics then led to an overhaul of the techniques used to extract trends and cycles from time series. Terence Mills introduces these various approaches to allow students and researchers to appreciate the variety of techniques and the considerations that underpin their choice for modelling trends and cycles.
Periodicity And Stochastic Trends In Economic Time Series
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Author : Philip Hans Franses
language : en
Publisher: Oxford University Press, USA
Release Date : 1996
Periodicity And Stochastic Trends In Economic Time Series written by Philip Hans Franses and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Business & Economics categories.
This book provides a self-contained account of periodic models for seasonally observed economic time series with stochastic trends. Two key concepts are periodic integration and periodic cointegration. Periodic integration implies that a seasonally varying differencing filter is required to remove a stochastic trend. Periodic cointegration amounts to allowing cointegration paort-term adjustment parameters to vary with the season. The emphasis is on useful econrameters and shometric models that explicitly describe seasonal variation and can reasonably be interpreted in terms of economic behaviour. The analysis considers econometric theory, Monte Carlo simulation, and forecasting, and it is illustrated with numerous empirical time series. A key feature of the proposed models is that changing seasonal fluctuations depend on the trend and business cycle fluctuations. In the case of such dependence, it is shown that seasonal adjustment leads to inappropriate results.
Long Term Trends And Business Cycles
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Author : Terence C. Mills
language : en
Publisher: Edward Elgar Publishing
Release Date : 2002
Long Term Trends And Business Cycles written by Terence C. Mills and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Business cycles categories.
This two-volume reference for students, researchers, and lecturers in economics presents a selection of the most important articles in the field published between 1923 and 1999. The 31 articles in Volume I cover topics related to business cycles including first attempts at measuring, traditional theories, sceptic views and early empirical methods, measurement without theory debate, interactions between trends and cycles, modern theories, and nonlinear and duration models. The 23 contributions in Volume II discuss dating business cycle turning points, modelling trends and cycles in economic time series, detrending economic time series, and historical examinations of trends and cycles. There is no subject index. Annotation copyrighted by Book News, Inc., Portland, OR
Time Series Analysis And Adjustment
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Author : Haim Y. Bleikh
language : en
Publisher: CRC Press
Release Date : 2016-02-24
Time Series Analysis And Adjustment written by Haim Y. Bleikh and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-02-24 with Business & Economics categories.
In Time Series Analysis and Adjustment the authors explain how the last four decades have brought dramatic changes in the way researchers analyze economic and financial data on behalf of economic and financial institutions and provide statistics to whomsoever requires them. Such analysis has long involved what is known as econometrics, but time series analysis is a different approach driven more by data than economic theory and focused on modelling. An understanding of time series and the application and understanding of related time series adjustment procedures is essential in areas such as risk management, business cycle analysis, and forecasting. Dealing with economic data involves grappling with things like varying numbers of working and trading days in different months and movable national holidays. Special attention has to be given to such things. However, the main problem in time series analysis is randomness. In real-life, data patterns are usually unclear, and the challenge is to uncover hidden patterns in the data and then to generate accurate forecasts. The case studies in this book demonstrate that time series adjustment methods can be efficaciously applied and utilized, for both analysis and forecasting, but they must be used in the context of reasoned statistical and economic judgment. The authors believe this is the first published study to really deal with this issue of context.
Economic Time Series
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Author : William R. Bell
language : en
Publisher: CRC Press
Release Date : 2012-03-19
Economic Time Series written by William R. Bell and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-03-19 with Mathematics categories.
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 series modeling and seasonal adjustment, as is reflected both in the contents of the chapters and in their authorship, with contributors coming from academia and government statistical agencies. For easier perusal and absorption, the contents have been grouped into seven topical sections: Section I deals with periodic modeling of time series, introducing, applying, and comparing various seasonally periodic models Section II examines the estimation of time series components when models for series are misspecified in some sense, and the broader implications this has for seasonal adjustment and business cycle estimation Section III examines the quantification of error in X-11 seasonal adjustments, with comparisons to error in model-based seasonal adjustments Section IV discusses some practical problems that arise in seasonal adjustment: developing asymmetric trend-cycle filters, dealing with both temporal and contemporaneous benchmark constraints, detecting trading-day effects in monthly and quarterly time series, and using diagnostics in conjunction with model-based seasonal adjustment Section V explores outlier detection and the modeling of time series containing extreme values, developing new procedures and extending previous work Section VI examines some alternative models and inference procedures for analysis of seasonal economic time series Section VII deals with aspects of modeling, estimation, and forecasting for nonseasonal economic time series By presenting new methodological developments as well as pertinent empirical analyses and reviews of established methods, the book provides much that is stimulating and practically useful for the serious researcher and analyst of economic time series.
Measuring Business Cycles In Economic Time Series
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Author : Regina Kaiser
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Measuring Business Cycles In Economic Time Series written by Regina Kaiser and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
This book outlines and demonstrates problems with the use of the HP filter, and proposes an alternative strategy for inferring cyclical behavior from a time series featuring seasonal, trend, cyclical and noise components. The main innovation of the alternative strategy involves augmenting the series forecasts and back-casts obtained from an ARIMA model, and then applying the HP filter to the augmented series. Comparisons presented using artificial and actual data demonstrate the superiority of the alternative strategy.
Periodicity Stochastic Trends In Economic Time Series
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Author : Philip Hans Franses
language : en
Publisher:
Release Date : 2023
Periodicity Stochastic Trends In Economic Time Series written by Philip Hans Franses and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with Cycles categories.
This text provides a self-contained account of periodic models for seasonally observed economic time series with stochastic trends. The analysis considers econometric theory, Monte Carlo simulation and forecasting, and it is illuminated with empirical time series.
Analysis Of Economic Time Series
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Author : Marc Nerlove
language : en
Publisher: Academic Press
Release Date : 2014-05-10
Analysis Of Economic Time Series written by Marc Nerlove and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-10 with Business & Economics categories.
Analysis of Economic Time Series: A Synthesis integrates several topics in economic time-series analysis, including the formulation and estimation of distributed-lag models of dynamic economic behavior; the application of spectral analysis in the study of the behavior of economic time series; and unobserved-components models for economic time series and the closely related problem of seasonal adjustment. Comprised of 14 chapters, this volume begins with a historical background on the use of unobserved components in the analysis of economic time series, followed by an Introduction to the theory of stationary time series. Subsequent chapters focus on the spectral representation and its estimation; formulation of distributed-lag models; elements of the theory of prediction and extraction; and formulation of unobserved-components models and canonical forms. Seasonal adjustment techniques and multivariate mixed moving-average autoregressive time-series models are also considered. Finally, a time-series model of the U.S. cattle industry is presented. This monograph will be of value to mathematicians, economists, and those interested in economic theory, econometrics, and mathematical economics.
Time Series Models For Business And Economic Forecasting
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Author : Philip Hans Franses
language : en
Publisher: Cambridge University Press
Release Date : 1998-10-15
Time Series Models For Business And Economic Forecasting written by Philip Hans Franses and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-10-15 with Business & Economics categories.
An introduction to time series models for business and economic forecasting.