Seasonal Adjustment As A Practical Problem
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Seasonal Adjustment As A Practical Problem
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Author : F. A. G. den Butter
language : en
Publisher: North Holland
Release Date : 1991
Seasonal Adjustment As A Practical Problem written by F. A. G. den Butter and has been published by North Holland this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Seasonal variations (Economics) categories.
Presented in this book is the theory and the practice of seasonal adjustment of economic series from the viewpoint of economic policy design. The book offers the economist and practical statistician the opportunity to acquire new and important analytical insights as well as practical tools. Moreover, it discusses the historical development of the practice of seasonal adjustment as applied for policy analysis with Persons in the early twenties, via Zaycoff and Mendershausen in the thirties, through present day modelling with the aid of Kalman filters. Each method treated is empirically illustrated while a comparative analysis is made to assess the appropriateness of the various methods.
Economic Time Series
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Author : William R. Bell
language : en
Publisher: CRC Press
Release Date : 2018-11-14
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 2018-11-14 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 s
Seasonal Adjustment Without Revisions
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Author : Barend Abeln
language : en
Publisher: Springer Nature
Release Date : 2023-02-13
Seasonal Adjustment Without Revisions written by Barend Abeln and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-02-13 with Business & Economics categories.
Seasonality in economic time series can "obscure" movements of other components in a series that are operationally more important for economic and econometric analyses. In practice, one often prefers to work with seasonally adjusted data to assess the current state of the economy and its future course. This book presents a seasonal adjustment program called CAMPLET, an acronym of its tuning parameters, which consists of a simple adaptive procedure to extract the seasonal and the non-seasonal component from an observed series. Once this process is carried out, there will be no need to revise these components at a later stage when new observations become available. The authors describe the main features of CAMPLET, evaluate the outcomes of CAMPLET and X-13ARIMA-SEATS in a controlled simulation framework using a variety of data generating processes, and illustrate CAMPLET and X-13ARIMA-SEATS with three time series: US non-farm payroll employment, operational income of Ahold and real GDP in the Netherlands. Furthermore they show how CAMPLET performs under the COVID-19 crisis, and its attractiveness in dealing with daily data. This book appeals to scholars and students of econometrics and statistics, interested in the application of statistical methods for empirical economic modeling.
Seasonal Adjustment Methods And Real Time Trend Cycle Estimation
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Author : Estela Bee Dagum
language : en
Publisher: Springer
Release Date : 2016-06-20
Seasonal Adjustment Methods And Real Time Trend Cycle Estimation written by Estela Bee Dagum and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-06-20 with Business & Economics categories.
This book explores widely used seasonal adjustment methods and recent developments in real time trend-cycle estimation. It discusses in detail the properties and limitations of X12ARIMA, TRAMO-SEATS and STAMP - the main seasonal adjustment methods used by statistical agencies. Several real-world cases illustrate each method and real data examples can be followed throughout the text. The trend-cycle estimation is presented using nonparametric techniques based on moving averages, linear filters and reproducing kernel Hilbert spaces, taking recent advances into account. The book provides a systematical treatment of results that to date have been scattered throughout the literature. Seasonal adjustment and real time trend-cycle prediction play an essential part at all levels of activity in modern economies. They are used by governments to counteract cyclical recessions, by central banks to control inflation, by decision makers for better modeling and planning and by hospitals, manufacturers, builders, transportation, and consumers in general to decide on appropriate action. This book appeals to practitioners in government institutions, finance and business, macroeconomists, and other professionals who use economic data as well as academic researchers in time series analysis, seasonal adjustment methods, filtering and signal extraction. It is also useful for graduate and final-year undergraduate courses in econometrics and time series with a good understanding of linear regression and matrix algebra, as well as ARIMA modelling.
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.
Seasonal Adjustment Factors
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Author : Helen F. Hald
language : en
Publisher:
Release Date : 1963
Seasonal Adjustment Factors written by Helen F. Hald and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1963 with Prices categories.
Compilation Manual For An Index Of Services Production
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Author : OECD
language : en
Publisher: OECD Publishing
Release Date : 2007-07-03
Compilation Manual For An Index Of Services Production written by OECD and has been published by OECD Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-07-03 with categories.
The OECD Compilation Manual for Index of Services Production contains guidelines and methodologies to measure short-term production activities of the services sector by national agencies and international organisations.
Seasonality In Regression
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Author : Svend Hylleberg
language : en
Publisher: Academic Press
Release Date : 2014-05-10
Seasonality In Regression written by Svend Hylleberg 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.
Seasonality in Regression presents the problems of seasonality in economic regression models. This book discusses the procedures that may have application in practical econometric work. Organized into eight chapters, this book begins with an overview of the tremendous increase in the computational capabilities made by the development of the electronic computer that has profound implications for the way seasonality is handled by economists. This text then examines some seasonal models and their characteristics. Other chapters consider the most frequently applied evaluation criteria and appraise the values in the applications. This book discusses as well the frequency domain estimators and provides insight into problems of estimating the disturbance–covariance matrix through the use of the disturbance spectrum. The final chapter deals with the main objective of the treatment of personality to formulate and estimate econometric models. This book is a valuable resource for economists and econometricians who have knowledge of econometrics at an advanced undergraduate or graduate level.
Forecasting Principles And Practice
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Author : Rob J Hyndman
language : en
Publisher: OTexts
Release Date : 2018-05-08
Forecasting Principles And Practice written by Rob J Hyndman and has been published by OTexts this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-05-08 with Business & Economics categories.
Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic forecasts a few minutes ahead. Whatever the circumstances or time horizons involved, forecasting is an important aid in effective and efficient planning. This textbook provides a comprehensive introduction to forecasting methods and presents enough information about each method for readers to use them sensibly.
A Course In Time Series Analysis
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Author : Daniel Peña
language : en
Publisher: John Wiley & Sons
Release Date : 2011-01-25
A Course In Time Series Analysis written by Daniel Peña and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-01-25 with Mathematics categories.
New statistical methods and future directions of research in time series A Course in Time Series Analysis demonstrates how to build time series models for univariate and multivariate time series data. It brings together material previously available only in the professional literature and presents a unified view of the most advanced procedures available for time series model building. The authors begin with basic concepts in univariate time series, providing an up-to-date presentation of ARIMA models, including the Kalman filter, outlier analysis, automatic methods for building ARIMA models, and signal extraction. They then move on to advanced topics, focusing on heteroscedastic models, nonlinear time series models, Bayesian time series analysis, nonparametric time series analysis, and neural networks. Multivariate time series coverage includes presentations on vector ARMA models, cointegration, and multivariate linear systems. Special features include: Contributions from eleven of the worldâ??s leading figures in time series Shared balance between theory and application Exercise series sets Many real data examples Consistent style and clear, common notation in all contributions 60 helpful graphs and tables Requiring no previous knowledge of the subject, A Course in Time Series Analysis is an important reference and a highly useful resource for researchers and practitioners in statistics, economics, business, engineering, and environmental analysis. An Instructor's Manual presenting detailed solutions to all the problems in he book is available upon request from the Wiley editorial department.