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Author : Andrew A. Weiss
Publisher :
ISBN 13 : 9780868370460
Total Pages : 19 pages
Book Rating : 4.3/5 (74 download)
Download or read book Systematic Sampling and Temporal Aggregation in Time Series Models written by Andrew A. Weiss and published by . This book was released on 1983 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pilar González
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (241 download)
Download or read book Temporal Aggregation and Systematic Sampling in Structural Time Series Models written by Pilar González and published by . This book was released on 1990 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pilar González Casimiro
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (133 download)
Download or read book Temporal Aggregation and Systematic Sampling in Structural Time Series Models written by Pilar González Casimiro and published by . This book was released on 1990 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : William W. S. Wei
Publisher :
ISBN 13 :
Total Pages : 342 pages
Book Rating : 4.:/5 (89 download)
Download or read book The Effect of Temporal Aggregation on Discrete Dynamic Time Series Models written by William W. S. Wei and published by . This book was released on 1974 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Agustín Maravall
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (642 download)
Download or read book Temporal Aggregation, Systematic Sampling, and the Hodrick-Prescott written by Agustín Maravall and published by . This book was released on 2007 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Maravall and del Río (2001), analized the time aggregation properties of the Hodrick Prescott (HP) filter, which decomposes a time series into trend and cycle, for the case of annual, quarterly, and monthly data, and showed that aggregation of the disaggregate component cannot be obtained as the exact result from direct application of an HP filter to the aggregate series. The present paper shows how, using several criteria, one can find HP decompositions for different levels of aggregation that provide similar results. We use as the main criterion for aggregation the preservation of the period associated with the frequency for which the filter gain is 1/2; this criterion is intuitive and easy to apply. It is shown that the Ravn and Uhlig (2002) empirical rule turns out to be a first order approximation to our criterion, and that alternative -more complex- criteria yield similar results. Moreover, the values of the parameter? of the HP filter, that provide results that are approximately consistent under aggregation, are considerably robust with respect to the ARIMA model of the series. Aggregation is seen to work better for the case of temporal aggregation than for systematic sampling. Still a word of caution is made concerning the desirability of exact aggregation consistency. The paper concludes with a clarification having to do with the questionable spuriousness of the cycles obtained with HP filter.
Author : Agustín Maravall
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (212 download)
Download or read book Temporal Aggregation, Systematic Sampling, and the Hodrick-Prescott Filter written by Agustín Maravall and published by . This book was released on 2007 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrea Silvestrini
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.3/5 ( download)
Download or read book Temporal Aggregation of Univariate and Multivariate Time Series Models written by Andrea Silvestrini and published by . This book was released on 2008 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : K. R. W. Brewer
Publisher : Carleton University, Department of Mathematics
ISBN 13 :
Total Pages : 104 pages
Book Rating : 4.3/5 (91 download)
Download or read book Some Topics in Time Series written by K. R. W. Brewer and published by Carleton University, Department of Mathematics. This book was released on 1977 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Helmut Lütkepohl
Publisher : Springer Science & Business Media
ISBN 13 : 9783540172086
Total Pages : 340 pages
Book Rating : 4.1/5 (72 download)
Download or read book Forecasting Aggregated Vector ARMA Processes written by Helmut Lütkepohl and published by Springer Science & Business Media. This book was released on 1987 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study is concerned with forecasting time series variables and the impact of the level of aggregation on the efficiency of the forecasts. Since temporally and contemporaneously disaggregated data at various levels have become available for many countries, regions, and variables during the last decades the question which data and procedures to use for prediction has become increasingly important in recent years. This study aims at pointing out some of the problems involved and at pro viding some suggestions how to proceed in particular situations. Many of the results have been circulated as working papers, some have been published as journal articles, and some have been presented at conferences and in seminars. I express my gratitude to all those who have commented on parts of this study. They are too numerous to be listed here and many of them are anonymous referees and are therefore unknown to me. Some early results related to the present study are contained in my monograph "Prognose aggregierter Zeitreihen" (Lutkepohl (1986a)) which was essentially completed in 1983. The present study contains major extensions of that research and also summarizes the earlier results to the extent they are of interest in the context of this study.
Author : Kuldeep Kumar
Publisher : Universal-Publishers
ISBN 13 : 161233573X
Total Pages : 205 pages
Book Rating : 4.6/5 (123 download)
Download or read book Some Recent Developments in Statistical Theory and Applications written by Kuldeep Kumar and published by Universal-Publishers. This book was released on 2012 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is part of the proceedings of The International Conference on Recent Developments in Statistics, Econometrics and Forecasting 2010, which was organized to provide opportunities for academics and researchers to share their knowledge on recent developments in this area. The conference featured the most up-to-date research results and applications in statistics, econometrics and forecasting. The book has fifteen chapters contributed by different authors and can be divided into five parts: Time Series and Econometric Modeling, Linear Models, Non-parametrics, Statistical Applications and Statistical Methodology. This book will be helpful to graduate students, researchers and applied statisticians working in the area of time series, statistical and econometric modeling.
Author : G. Elliott
Publisher : Elsevier
ISBN 13 : 0444513957
Total Pages : 1071 pages
Book Rating : 4.4/5 (445 download)
Download or read book Handbook of Economic Forecasting written by G. Elliott and published by Elsevier. This book was released on 2006-07-14 with total page 1071 pages. Available in PDF, EPUB and Kindle. Book excerpt: Section headings in this handbook include: 'Forecasting Methodology; 'Forecasting Models'; 'Forecasting with Different Data Structures'; and 'Applications of Forecasting Methods.'.
Author : James A. Stimson
Publisher : University of Michigan Press
ISBN 13 : 9780472101375
Total Pages : 292 pages
Book Rating : 4.1/5 (13 download)
Download or read book Political Analysis written by James A. Stimson and published by University of Michigan Press. This book was released on 1990 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: Publishes scholarly articles on topics related to all areas of political science methodology. See also Freeman, John R.
Author : Andrew C. Harvey
Publisher : Cambridge University Press
ISBN 13 : 9780521405737
Total Pages : 574 pages
Book Rating : 4.4/5 (57 download)
Download or read book Forecasting, Structural Time Series Models and the Kalman Filter written by Andrew C. Harvey and published by Cambridge University Press. This book was released on 1990 with total page 574 pages. Available in PDF, EPUB and Kindle. Book excerpt: A synthesis of concepts and materials, that ordinarily appear separately in time series and econometrics literature, presents a comprehensive review of theoretical and applied concepts in modeling economic and social time series.
Author : Francesco Palumbo
Publisher : Springer Science & Business Media
ISBN 13 : 3642037399
Total Pages : 473 pages
Book Rating : 4.6/5 (42 download)
Download or read book Data Analysis and Classification written by Francesco Palumbo and published by Springer Science & Business Media. This book was released on 2010-03-14 with total page 473 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volume provides results from the latest methodological developments in data analysis and classification and highlights new emerging subjects within the field. It contains articles about statistical models, classification, cluster analysis, multidimensional scaling, multivariate analysis, latent variables, knowledge extraction from temporal data, financial and economic applications, and missing values. Papers cover both theoretical and empirical aspects.
Author : William W. S. Wei
Publisher : John Wiley & Sons
ISBN 13 : 1119502853
Total Pages : 536 pages
Book Rating : 4.1/5 (195 download)
Download or read book Multivariate Time Series Analysis and Applications written by William W. S. Wei and published by John Wiley & Sons. This book was released on 2019-03-18 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential guide on high dimensional multivariate time series including all the latest topics from one of the leading experts in the field Following the highly successful and much lauded book, Time Series Analysis—Univariate and Multivariate Methods, this new work by William W.S. Wei focuses on high dimensional multivariate time series, and is illustrated with numerous high dimensional empirical time series. Beginning with the fundamentalconcepts and issues of multivariate time series analysis,this book covers many topics that are not found in general multivariate time series books. Some of these are repeated measurements, space-time series modelling, and dimension reduction. The book also looks at vector time series models, multivariate time series regression models, and principle component analysis of multivariate time series. Additionally, it provides readers with information on factor analysis of multivariate time series, multivariate GARCH models, and multivariate spectral analysis of time series. With the development of computers and the internet, we have increased potential for data exploration. In the next few years, dimension will become a more serious problem. Multivariate Time Series Analysis and its Applications provides some initial solutions, which may encourage the development of related software needed for the high dimensional multivariate time series analysis. Written by bestselling author and leading expert in the field Covers topics not yet explored in current multivariate books Features classroom tested material Written specifically for time series courses Multivariate Time Series Analysis and its Applications is designed for an advanced time series analysis course. It is a must-have for anyone studying time series analysis and is also relevant for students in economics, biostatistics, and engineering.
Author : Nigar Hashimzade
Publisher : Edward Elgar Publishing
ISBN 13 : 0857931024
Total Pages : 627 pages
Book Rating : 4.8/5 (579 download)
Download or read book Handbook of Research Methods and Applications in Empirical Macroeconomics written by Nigar Hashimzade and published by Edward Elgar Publishing. This book was released on 2013-01-01 with total page 627 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive Handbook presents the current state of art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text. The Handbook concentrates on the most important issues, models and techniques for research in macroeconomics, and highlights the core methodologies and their empirical application in an accessible manner. Each chapter is largely self-contained, whilst the comprehensive introduction provides an overview of the key statistical concepts and methods. All of the chapters include the essential references for each topic and provide a sound guide for further reading. Topics covered include unit roots, non-linearities and structural breaks, time aggregation, forecasting, the Kalman filter, generalised method of moments, maximum likelihood and Bayesian estimation, vector autoregressive, dynamic stochastic general equilibrium and dynamic panel models. Presenting the most important models and techniques for empirical research, this Handbook will appeal to students, researchers and academics working in empirical macro and econometrics.
Author : Terry Barker
Publisher : Routledge
ISBN 13 : 1317829182
Total Pages : 271 pages
Book Rating : 4.3/5 (178 download)
Download or read book Disaggregation in Econometric Modelling (Routledge Revivals) written by Terry Barker and published by Routledge. This book was released on 2014-02-04 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book, first published in 1990, leading theorists and applied economists address themselves to the key questions of aggregation. The issues are covered both theoretically and in wide-ranging applications. Of particular intrest is the optimal aggregation of trade data, the need for micro-modelling when imoprtant non-linearities are present (for example, tax exhaustion in modelling company behaviour) and the use of a micro-model to stimulate labour supply behaviour in a macro-model of the Netherlands.
