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经济时间序列季节调整中的问题AI 解读

In the first part of this article, we briefly review the history of seasonal adjustment and statistical time series analysis in order to understand why seasonal adjustment methods have evolved into their present form. This review provides insight into some of the problems that must be addressed by seasonal adjustment procedures and points out that advances in modern time series analysis raise the question of whether seasonal adjustment should be performed at all. This in…

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《经济时间序列季节调整涉及的问题》评论AI 解读

Estela Bee Dagum, Normand J. D. Laniel, [Issues Involved with the Seasonal Adjustment of Economic Time Series]: Comment, Journal of Business & Economic Statistics, Vol. 2, No. 4 (Oct., 1984), pp. 328-332

《经济时间序列季节调整涉及的问题》评论：季调序列频谱中的凹陷AI 解读

Craig F. Ansley, William E. Wecker, [Issues Involved with the Seasonal Adjustment of Economic Time Series]: Comment: On Dips in the Spectrum of a Seasonally Adjusted Time Series, Journal of Business & Economic Statistics, Vol. 2, No. 4 (Oct., 1984), pp. 323-324

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多产品企业产品平均总成本的随机系数估计AI 解读

The problem of estimating the mean average total cost of each output for multiproduct firms in an industry is addressed. The identity that defines total cost for each firm as the product of output levels multiplied by their respective average total costs is viewed as a random-coefficients model. A random coefficients regression estimator is used to estimate mean average total output costs. Solutions to problems arising with this method in empirical studies are discussed. An…

样本选择模型与多部模型之间的选择AI 解读

Hay and Olsen (1984) incorrectly argue that a multi-part model, the two-part model used in Duan et al. (1982,1983), is nested within the sample-selection model. Their proof relies on an unmentioned restrictive assumption that cannot be satisfied. We provide a counterexample to show that the propensity to use medical care and the level of expense can be positively associated in the two-part model, contrary to their assertion. The conditional specification in the multi-part…

平稳自回归移动平均过程下样本自相关系数的分布AI 解读

This article examines the adequacy of approximations to the distributions of the sample autocorrelations by normal distributions, Edgeworth-type expansions, and four-parameter Pearson distributions. The accuracy of these approximations is found to depend critically on the data-generating process and sample size and to improve with sample size. Only the Pearson approximations seem to be reliable in relatively small samples. The utility of these approximations is illustrated…

周度货币总量的季节调整：基于模型的方法AI 解读

A procedure is developed for seasonally adjusting weekly time series, based on a composite of regression and time series models. The procedure is applied to some weekly U.S. money supply series currently seasonally adjusted by the Federal Reserve.

宏观时间序列单变量自回归预测程序的比较AI 解读

The actual performance of several automated univariate autoregressive forecasting procedures, applied to 150 macroeconomic time series, are compared. The procedures are the random walk model as a basis for comparison; long autoregressions, with three alternative rules for lag length selection; and a long autoregression estimated by minimizing the sum of absolute deviations. The sensitivity of each procedure to preliminary transformations, data, periodicity, forecast horizon,…

加拿大消费者价格指数季节调整的基本问题AI 解读

This study is mainly concerned with basic issues that arise in connection with the seasonal: adjustment of the Canadian Consumer Price Index when used as a current indicator of inflation. It analyzes the seasonal characteristics of the series and evaluates whether a direct or an indirect adjustment is preferred from the viewpoint of the degree of smoothness of the monthly rate of change. The use of ARIMA extrapolations versus no ARIMA extrapolations and the application of…

使用 Census X-11 进行同期季节调整AI 解读

Much investigative effort is being expended worldwide toward improving seasonally adjusted estimates from the Census X-11 program. Several recent investigations have resulted in a recommendation to obtain the most recent month's adjustment by applying X-11 to data through that month (concurrent adjustment), rather than relying on projected factors obtained from an earlier run. Although there are theoretical arguments supporting the applicaton of X-11 concurrently, a…

同期加总的向量 ARMA 过程预测AI 解读

Given a multiple time series that is generated by a multivariate ARMA process and assuming the objective is to forecast a weighted sum of the individual variables, then under a mean squared error measure of forecasting precision, it is preferable to forecast the disaggregated multiple time series and aggregate the forecasts, rather than forecast the aggregated series directly, if the involved processes are known. This result fails to hold if the processes used for…