Hylleberg / Shell Seasonality in Regression

1. Auflage 2014
ISBN: 978-1-4832-7774-5
Verlag: Elsevier Science & Techn.
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 284 Seiten, Web PDF

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.

Autoren/Hrsg.

Hylleberg, Svend

Shell, Karl

Inhaltsverzeichnis

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