A Statistical Approach For Disaggregating Mixed Frequency Economic Time Series Data PDF Download
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| Author | : Wai-Sum Chan |
| Publisher | : |
| Total Pages | : 14 |
| Release | : 1997 |
| Genre | : Time-series analysis |
| ISBN | : |
Download A Statistical Approach for Disaggregating Mixed-frequency Economic Time Series Data Book in PDF, ePub and Kindle
"The problem of mixed-frequency time series data arises from changing the observation frequency. For example, we may have a time series with quarterly observations in the first portion and annual figures in the remainder. We shall call that quarter-year mixed-frequency data. In this paper we suggest a method to disaggregate the annual observations to quarterly values. The proposed method can easily be generalised to the year-quarter, quarter-month, year-month and other mixed-frequency situations; it may avoid difficulties of time series modelling and is easy to implement. A step-by-step algorithm of the method is given so that econometricians not expert in this area can still perform the procedure. The proposed method is illustrated through two real examples. We also conduct a small scale Monte Carlo experiment to compare the proposed procedure with two existing alternative methods. Finally, some concluding remarks are given"--Abstract.
| Author | : Clive William John Granger |
| Publisher | : Princeton University Press |
| Total Pages | : 318 |
| Release | : 2015-12-08 |
| Genre | : Business & Economics |
| ISBN | : 1400875528 |
Download Spectral Analysis of Economic Time Series. (PSME-1) Book in PDF, ePub and Kindle
The important data of economics are in the form of time series; therefore, the statistical methods used will have to be those designed for time series data. New methods for analyzing series containing no trends have been developed by communication engineering, and much recent research has been devoted to adapting and extending these methods so that they will be suitable for use with economic series. This book presents the important results of this research and further advances the application of the recently developed Theory of Spectra to economics. In particular, Professor Hatanaka demonstrates the new technique in treating two problems-business cycle indicators, and the acceleration principle existing in department store data. Originally published in 1964. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.
| Author | : Lawrence Robert Klein |
| Publisher | : Edward Elgar Publishing |
| Total Pages | : 400 |
| Release | : 2009-01-01 |
| Genre | : Business & Economics |
| ISBN | : 1849802165 |
Download The Making of National Economic Forecasts Book in PDF, ePub and Kindle
In this valuable volume, Nobel Prize-winner Klein gathers together a group of authors who focus on forecasting models for a number of economies. The variety of the models and the structural differences among them are especially interesting. . . Readers interested in forecasting methodologies will find much of value in this volume. Highly recommended. I. Walter, Choice This important book, prepared under the direction of Nobel Laureate Lawrence R. Klein, shows how economic forecasts are made. It explains how modern developments in information technology have made it possible to forecast frequently at least monthly but also weekly or bi-weekly depending upon the perceived needs of potential forecast users and also on the availability of updated material. The book focuses on forecasts in a diverse range of economies including the United States, China, India, Russia, Germany, Japan, South Korea, and Turkey. At a time of great economic uncertainty, this book makes an important contribution by showing how new information technology can be used to prepare national economic forecasts.
| Author | : Pierre-Arthur Cholette |
| Publisher | : |
| Total Pages | : 45 |
| Release | : 1989 |
| Genre | : Time-series analysis |
| ISBN | : |
Download Benchmarking Socio-economic Time Series Data Book in PDF, ePub and Kindle
"This paper presents a unified approach for benchmarking socio-economic time series data. Benchmarking (e.g. Denton, 1971; Hillrner and Trabelsi, 1987) consists of estimating time series when measurements of the target variable are available at differing frequencies, e.g. monthly and annually. Most benchmarking methods can be seen as particular cases of the proposed unified approach. Furthermore, the statistical properties available with the general model carry over to the previous methods, which were often developed "ad hoc". The unified approach, based on Generalized Least Squares with stochastic parameters, also encompasses interpolation and temporal disaggregation methods (e.g. Soot, Feibes and Lisman, 1967; Chow-Liri, 1971). However, the paper deals mainly with benchmarking"--Abstract.
| Author | : Marc Nerlove |
| Publisher | : |
| Total Pages | : 504 |
| Release | : 1979 |
| Genre | : Business & Economics |
| ISBN | : |
Download Analysis of Economic Time Series Book in PDF, ePub and Kindle
In this edition which has been reprinted with corrections, Nerlove and his co-authors illustrate techniques of spectral analysis and methods based on parametric models in the analysis of economic time series. The book provides a means and a method for incorporating economic intuition and theory in the formulation of time-series models useful in forecasting, in the formulation and estimation of distributed lag models, and in other applications, such as seasonal adjustment. Analysis of Economic Time Series is a useful primary text for graduate students and an attractive reference for researchers. Key Features * Presents a self-contained treatment of Fourier Analysis and complex variables, as well as Spectral Analysis of time series * Includes a detailed treatment of unobserved-components (UC) models and their time-series properties by means of covariance-generating transforms * Provides the formulation and maximum-likelihood estimation of ARMA and UC models in both time and frequency domains Integrates several topics in time-series analysis: * The formulation and estimation of distributed-lag models of dynamic economic behavior * The application of the techniques of spectral analysis in the study of behavior of economic time series * Unobserved-components models for economic time series and the closely related problem of seasonal adjustment * The complimentarities between time-domain and frequency-domain approaches to the analysis of economic time series * Historical contributions extending from the time of Charles Babbage and the Edinburgh Review to the present * Treats spectral analysis and Box-Jenkins models for an intuitive but rigorous point of view * Shows how these two types of analysis may be synthesized so that they complement one another * Describes a new type of model, based on a superposition of Box-Jenkins models, that captures the essential idea of the unobserved-components models long used in the analysis of economic time series * Applies multiple time-series techniques to the estimation of a novel dynamic model of the US cattle industry
| Author | : Haim Y. Bleikh |
| Publisher | : CRC Press |
| Total Pages | : 148 |
| Release | : 2016-02-24 |
| Genre | : Business & Economics |
| ISBN | : 1317010175 |
Download Time Series Analysis and Adjustment Book in PDF, ePub and Kindle
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.
| Author | : Harold Thayer Davis |
| Publisher | : |
| Total Pages | : 648 |
| Release | : 1941 |
| Genre | : Economics, Mathematical |
| ISBN | : |
Download The Analysis of Economic Time Series Book in PDF, ePub and Kindle
| Author | : Claudia Foroni |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2011 |
| Genre | : |
| ISBN | : 9783865587817 |
Download U-MIDAS Book in PDF, ePub and Kindle
| Author | : Masanao Aoki |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 262 |
| Release | : 2012-12-06 |
| Genre | : Mathematics |
| ISBN | : 3642455654 |
Download Notes on Economic Time Series Analysis: System Theoretic Perspectives Book in PDF, ePub and Kindle
In seminars and graduate level courses I have had several opportunities to discuss modeling and analysis of time series with economists and economic graduate students during the past several years. These experiences made me aware of a gap between what economic graduate students are taught about vector-valued time series and what is available in recent system literature. Wishing to fill or narrow the gap that I suspect is more widely spread than my personal experiences indicate, I have written these notes to augment and reor ganize materials I have given in these courses and seminars. I have endeavored to present, in as much a self-contained way as practicable, a body of results and techniques in system theory that I judge to be relevant and useful to economists interested in using time series in their research. I have essentially acted as an intermediary and interpreter of system theoretic results and perspectives in time series by filtering out non-essential details, and presenting coherent accounts of what I deem to be important but not readily available, or accessible to economists. For this reason I have excluded from the notes many results on various estimation methods or their statistical properties because they are amply discussed in many standard texts on time series or on statistics.
| Author | : Asian Development Bank |
| Publisher | : Asian Development Bank |
| Total Pages | : 137 |
| Release | : 2021-05-01 |
| Genre | : Business & Economics |
| ISBN | : 9292627759 |
Download Practical Guidebook on Data Disaggregation for the Sustainable Development Goals Book in PDF, ePub and Kindle
The "leave no one behind" principle espoused by the 2030 Agenda for Sustainable Development requires measures of progress for different segments of the population. This entails detailed disaggregated data to identify subgroups that might be falling behind, to ensure progress toward achieving the Sustainable Development Goals (SDGs). The Asian Development Bank and the Statistics Division of the United Nations Department of Economic and Social Affairs developed this practical guidebook with tools to collect, compile, analyze, and disseminate disaggregated data. It also provides materials on issues and experiences of countries regarding data disaggregation for the SDGs. This guidebook is for statisticians and analysts from planning and sector ministries involved in the production, analysis, and communication of disaggregated data.
