Economic Time Series Modeling and Seasonality

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.

Periodic Modeling of Economic Time SeriesA Multivariate Periodic Unobserved Components Time Series Analysis for Sectoral U.S. EmploymentSiem Jan Koopman, Marius Ooms, and Irma HindrayantoSeasonal Heteroskedasticity in Time Series Data: Modeling, Estimation, and TestingThomas M. Trimbur and William R. BellChoosing Seasonal Autocovariance Structures: PARMA or SARMA?Robert LundEstimating Time Series Components with Misspecified ModelsSpecification and Misspecification of Unobserved Components ModelsDavide Delle Monache and Andrew HarveyThe Error in Business Cycle Estimates Obtained From Seasonally Adjusted DataTucker S. McElroy and Scott H. HolanFrequency Domain Analysis of Seasonal Adjustment Filters Applied To Periodic Labor Force Survey SeriesRichard B. TillerQuantifying Error in X-11 Seasonal AdjustmentsComparing Mean Squared Errors of X-12-ARIMA and Canonical ARIMA Model-Based Seasonal AdjustmentsWilliam R. Bell, Yea-Jane Chu, and George C. TiaoEstimating Variance in X-11 Seasonal AdjustmentStuart Scott, Danny Pfeffermann, and Michail SverchkovPractical Problems in Seasonal AdjustmentAsymmetric Filters for Trend-Cycle EstimationEstela Bee Dagum and Alessandra LuatiRestoring Accounting Constraints in Time Series: Methods and Software for a Statistical AgencyBenoit Quenneville and Susie FortierTheoretical and Real Trading-Day FrequenciesDominique LadirayApplying and Interpreting Model-Based Seasonal Adjustment: The Euro-Area Industrial Production SeriesAgustín Maravall and Domingo PérezOutlier Detection and Modeling Time Series with Extreme ValuesAdditive Outlier Detection in Seasonal ARIMA Models by a Modified Bayesian Information CriterionPedro Galeano and Daniel PeñaOutliers in GARCH ProcessesLuiz K. Hotta and Ruey S. Tsay Constructing a Credit Default Swap Index and Detecting the Impact of the Financial CrisisYoko Tanokura, Hiroshi Tsuda, Seisho Sato, and Genshiro KitagawaAlternative Models for Seasonal and Other Time Series ComponentsNormally Distributed Seasonal Unit Root Tests David A. DickeyBayesian Seasonal Adjustment of Long-Memory Time SeriesScott H. Holan and Tucker S. McElroyBayesian Stochastic Model Specification Search for Seasonal and Calendar EffectsTommaso Proietti and Stefano GrassiModeling and Estimation for Nonseasonal Economic Time SeriesNonparametric Estimation of the Innovation Variance and Judging the Fit of ARMA ModelsPriya Kohli and Mohsen Pourahmadi Functional Model Selection for Sparse Binary Time Series with Multiple InputsCatherine Y. Tu, Dong Song, F. Jay Breidt, Theodore W. Berger, and Haonan WangModels for High Lead Time PredictionGranville Tunnicliffe-Wilson and John Haywood

William R. Bell, Ph.D., is the Senior Mathematical Statistician for Small Area Estimation at the U.S. Census Bureau. He is a recognized researcher in the area of modeling and adjustment of seasonal economic time series. He has also worked on development of related computer software, including software for RegARIMA modeling of seasonal economic time series (for the X-12-ARIMA seasonal adjustment program), and the REGCMPNT program for time series models with regression effects and ARIMA component errors. Scott H. Holan, Ph.D., is an Associate Professor of Statistics at the University of Missouri. He is the author of over 30 articles on topics of time series, spatio-temporal methodology, Bayesian methods and hierarchical models. His work is largely motivated by problems in federal statistics, econometrics, ecology and environmental science. Tucker S. McElroy, Ph.D., is a Principal Researcher for Time Series Analysis at the U.S. Census Bureau. His research is focused primarily upon developing novel methodology for time series problems, such as model selection and signal extraction. He has contributed to the model diagnostic and seasonal adjustment routines in the X-12-ARIMA seasonal adjustment program, and has taught seasonal adjustment to both domestic and international students.