Download or read book Estimating Distributed Lag Coefficients when There are Errors in the Observed Time Series written by Melvin J. Hinich and published by . This book was released on 1982 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Estimating the distributed lag coefficients (h(mTAU)) from a sample of the two processes when (x(NTAU)) and (y(nTAU)) are measured with error is a statistical problem that is frequently encountered in physical science, engineering, and social science applications. In the engineering and science literature the distributed lags are called the impulse response weights of a causal linear filter. A least squares fit of the model gives biased estimates of the coefficients for this time series version of the errors-in-variables problem. This paper presents approximately unbiased estimators of a scalar multiple of the coefficients. (Author).

Download or read book Time Series Analysis of Irregularly Observed Data written by E. Parzen and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the support of the Office of Naval Research Program on Statistics and Probability (Dr. Edward J. Wegman, Director), The Department of Statistics at Texas A&M University hosted a Symposium on Time Series Analysis of Irregularly Observed Data during the period February 10-13, 1983. The symposium aimed to provide a review of the state of the art, define outstanding problems for research by theoreticians, transmit to practitioners recently developed algorithms, and stimulate interaction between statisticians and researchers in subject matter fields. Attendance was limited to actively involved researchers. This volume contains refereed versions of the papers presented at the Symposium. We would like to express our appreciation to the many colleagues and staff members whose cheerful help made the Symposium a successful happening which was enjoyed socially and intellectually by all participants. I would like to especially thank Dr. Donald W. Marquardt whose interest led me to undertake to organize this Symposium. This volume is dedicated to the world wide community of researchers who develop and apply methods of statistical analysis of time series. r:;) \J Picture Caption Participants in Symposium on Time Series Analysis of Irregularly Observed Data at Texas A&M University, College Station, Texas, February 10-13, 1983 First Row: Henry L. Gray, D. W. Marquardt, P. M. Robinson, Emanuel Parzen, Julia Abrahams, E. Masry, H. L. Weinert, R. H. Shumway.

Download or read book Using R for Principles of Econometrics written by Constantin Colonescu and published by Lulu.com. This book was released on 2017-12-28 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a beginner's guide to applied econometrics using the free statistics software R. It provides and explains R solutions to most of the examples in 'Principles of Econometrics' by Hill, Griffiths, and Lim, fourth edition. 'Using R for Principles of Econometrics' requires no previous knowledge in econometrics or R programming, but elementary notions of statistics are helpful.

Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1983 with total page 764 pages. Available in PDF, EPUB and Kindle. Book excerpt: Lists citations with abstracts for aerospace related reports obtained from world wide sources and announces documents that have recently been entered into the NASA Scientific and Technical Information Database.

Download or read book The Econometric Analysis of Time Series written by Andrew C. Harvey and published by . This book was released on 1981 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Applied Econometrics with R written by Christian Kleiber and published by Springer Science & Business Media. This book was released on 2008-12-10 with total page 229 pages. Available in PDF, EPUB and Kindle. Book excerpt: R is a language and environment for data analysis and graphics. It may be considered an implementation of S, an award-winning language initially - veloped at Bell Laboratories since the late 1970s. The R project was initiated by Robert Gentleman and Ross Ihaka at the University of Auckland, New Zealand, in the early 1990s, and has been developed by an international team since mid-1997. Historically, econometricians have favored other computing environments, some of which have fallen by the wayside, and also a variety of packages with canned routines. We believe that R has great potential in econometrics, both for research and for teaching. There are at least three reasons for this: (1) R is mostly platform independent and runs on Microsoft Windows, the Mac family of operating systems, and various ?avors of Unix/Linux, and also on some more exotic platforms. (2) R is free software that can be downloaded and installed at no cost from a family of mirror sites around the globe, the Comprehensive R Archive Network (CRAN); hence students can easily install it on their own machines. (3) R is open-source software, so that the full source code is available and can be inspected to understand what it really does, learn from it, and modify and extend it. We also like to think that platform independence and the open-source philosophy make R an ideal environment for reproducible econometric research.

Download or read book Time Series Analysis written by Charles W. Ostrom and published by SAGE. This book was released on 1990 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The text gives a good basis for understanding the ideas of the time series models and estimation, without overwhelming readers with the complexity of the subject." --Journal of the American Statistical Association Completely revised and updated, this second edition of Time Series Analysis examines techniques for the study of change based on regression analysis. Ostrom demonstrates how these regression techniques may be employed for hypothesis testing, estimating, and forecasting. In addition, analysis strategies for both lagged and nonlagged models are presented and alternative time-dependent processes are explored.

Download or read book Problems of Time Series Analysis written by NERLOVE and published by Birkhäuser. This book was released on 1980 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: The last decade has witnessed an increased interest in time series analysis. Non-parametric methods like spectral and cross spectral analysis are used to discover regularities in individual time series, re lationships between specific components of different time series and leads or lags between those series. Box-Jenkins procedures for the pa rametric estimation of autoregressive-moving average schemes be long nowadays to the standard equipment of a computer center. In economics this revival of time series analysis has led to numer ous empirical studies on optimal seasonal adjustment procedures, the behavior of prices, production, employment etc. More recently, Box Jenkins methods form an integral part for tests on the efficiency of markets, the effectiveness of monetary and fiscal policies and for the study of the röle of different assumptions on the formation of expec tations. This volume comprehends aseries of lectures which deal with var ious topics of time series analysis delivered during the wintersemester 1978/79 at the faculty of economics and statistics. The collection be gins with a paper by M. Nerlove introducing the concept of unob served components. Theoretical results are illustrated by examples se ries on prices of steers, heifers, cows and milk, of cattle and for time hog slaughter, of industrial production and male unemployment. The study by S. Heiler considers a mixed model with a linear regression part and a regular residual process for the prediction of economic processes when additional information is available.

Download or read book Lasso for Autoregressive and Moving Average Coeffi ci ents Via Residuals of Unobservable Time Series written by Hanh Nguyen and published by . This book was released on 2018 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains four topics in time series data analysis. First, we propose the oracle model selection for autoregressive time series when the observations are contaminated with trend. An adaptive least absolute shrinkage and selection operator (LASSO) type model selection method is used after the trend is estimated by non-parametric B-splines method. The first step is to estimate the trend by B-splines method and then calculate the detrended residuals. The second step is to use the residuals as if they were observations to optimize an adaptive LASSO type objective function. The oracle properties of such an Adaptive Lasso model selection procedure are established; that is, the proposed method can identify the true model with probability approaching one as the sample size increases, and the asymptotic properties of estimators are not affected by the replacement of observations with detrended residuals. The extensive simulation studies of several constrained and unconstrained autoregressive models also confirm the theoretical results. The method is illustrated by two time series data sets, the annual U.S. tobacco production and annual tree ring width measurements. Second, we generalize our first topic to a more general class of time series using the autoregressive and moving-average (ARMA) model. The ARMA model class is the building block for stationary time series analysis. We adopt the two-step method non-parametric trend estimation with B-spline and model selection and model estimation with the adaptive LASSO. We prove that such model selection and model estimation procedure possesses the oracle properties. Another important objective of this topic is forecasting time series with trend. We approach the forecasting problem by two methods: the empirical method by using the one-step ahead prediction in time series and the bagging method. Our simulation studies show that both methods are efficient with the decreased mean square error when the sample size increases. Simulation studies are adopted to illustrate the asymptotic result of our proposed method for model selection and model estimation with twelve ARMA(p, q) models, in which p an q are in the range from 1 to 15. The method is also illustrated by two time series data sets from the New York State Energy Research and Development Authority (NYSERDA), a public benefit corporation which offers data and analysis to help New Yorkers increase energy efficiency. Third, we propose a new model class, which is motivated by lag effects of covariates on the dependent variable. Our paper aims at providing more accurate statistical analysis for the relationship, for example, between the outcome of an event that occurs once every several years and the covariates that have observations every year. Lag effects have received a great deal of attention since Almon (1965) proposed linear distributed lag models to model the dependence of time series on several regressors from a correlated sequence. Motivated by the linear distributed lag model, we propose distributed generalized linear models as well as the estimation procedure for the model coefficients. The estimators from our proposed procedure are shown to be oracle or asymptotically efficient. Simulation studies confirm the asymptotic properties of the estimators and present consequences of model misspecification as well as better model prediction accuracy. The application is illustrated by analysis of the presidential election data in 2016. Fourth, we aim to provide an easy-to-use data analysis procedure for linear regression with non-independent errors. In practice, errors in regression model may be non-independent. In such situation, it is usually suitable to assume that the error terms for the model follow a time series structure. In fact, this type of model structure (reffered as RegARMA) has received great interests from researchers. Pierce (1971) discussed a nonlinear least squares estimation of RegARMA; Greenhouse et al. (1987) studied biological rhythm data by using the RegARMA model. Recently, Wu and Wang (2012) used the shrinkage estimation procedure to analyze data using RegARMA. However, in the literature the trend factor of the time series has not been considered. We will use the same idea of the two step-procedure as in the first project and the second project for our approach. We first estimate the trend of the time series by using a non-parametric method such as B-spline or linear Kernel. We then use the adaptive LASSO method for model selection and model estimation of the linear part and the time series error part. Simulation results show that our approach works quite well. However, it would be very interesting and challenging to improve the estimations and extend the estimation method to more complicated models, which will be the focus of the future research.

Download or read book Applied Linear Statistical Models written by Michael H. Kutner and published by McGraw-Hill/Irwin. This book was released on 2005 with total page 1396 pages. Available in PDF, EPUB and Kindle. Book excerpt: Linear regression with one predictor variable; Inferences in regression and correlation analysis; Diagnosticis and remedial measures; Simultaneous inferences and other topics in regression analysis; Matrix approach to simple linear regression analysis; Multiple linear regression; Nonlinear regression; Design and analysis of single-factor studies; Multi-factor studies; Specialized study designs.

Download or read book Analysis of Panel Data written by Cheng Hsiao and published by Cambridge University Press. This book was released on 2003-02-13 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reviews the basic econometric methods that have been used to analyze panel data - in other words, data collected by observing a number of individuals over time. Copyright © Libri GmbH. All rights reserved.

Download or read book Principles of Econometrics written by R. Carter Hill and published by John Wiley & Sons. This book was released on 2018-02-21 with total page 1808 pages. Available in PDF, EPUB and Kindle. Book excerpt: Principles of Econometrics, Fifth Edition, is an introductory book for undergraduate students in economics and finance, as well as first-year graduate students in a variety of fields that include economics, finance, accounting, marketing, public policy, sociology, law, and political science. Students will gain a working knowledge of basic econometrics so they can apply modeling, estimation, inference, and forecasting techniques when working with real-world economic problems. Readers will also gain an understanding of econometrics that allows them to critically evaluate the results of others’ economic research and modeling, and that will serve as a foundation for further study of the field. This new edition of the highly-regarded econometrics text includes major revisions that both reorganize the content and present students with plentiful opportunities to practice what they have read in the form of chapter-end exercises.

Download or read book Competition Collusion and Game Theory written by Lester G Telser and published by Taylor & Francis. This book was released on 2017-09-05 with total page 401 pages. Available in PDF, EPUB and Kindle. Book excerpt: This original, quantitatively oriented analysis applies the theory of the core to define competition in order to describe and deduce the consequences of competitive and non-competitive behavior. Written by one of the world's leading mathematical economists, the book is mathematically rigorous. No other book is currently available giving a game theoretic analysis of competition with basic mathematical tools.Economic theorists have been working on a new and fundamental approach to the theory of competition and market structure, an approach inspired by appreciation of the earlier work of Edgeworth and Bohm-Bawerk and making use of the new tools of the theory of games as developed by von Neumann and Morgenstern. This new approach bases itself on the analysis of competitive behavior and its implications for the characteristics of market equilibrium rather than on assumptions about the characteristics of competitive and monopolistic markets. Its central concept is ""the theory of the core of the market,"" and it is concerned, with the conditions under which markets will or will not achieve the characteristics of uniform prices and welfare optimality.Telser provides a number of insights into the symptoms of competition, when and how competition is bought into play, the mechanisms of competition and collusion, the results of competition and collusion, and the results of competition and collusion for the economy and for the general public. Many misconceptions about the nature of a competitive equilibrium are dispelled. The book is not only a mathematical analysis of core price theory but also contains extensive empirical research in private industry. These empirical findings, from research pursued over several years, enhance understanding of how competition works and of the determinants of the returns to manufacturing industries.

Download or read book Inequalities During and After Transition in Central and Eastern Europe written by Cristiano Perugini and published by Springer. This book was released on 2015-07-28 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book deals with the key aspects of social and economic inequalities developed during the transition of the formerly planned European economies. Particular emphasis is given to the latest years available in order to consider the effects of the global crisis started in 2008-2009.

Download or read book Design and Analysis of Single Case Research written by Ronald D. Franklin and published by Psychology Press. This book was released on 2014-01-14 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on one important aspect of psychological research -- the intensive study of people measured one or more at a time. Some important historical material is detailed in several chapters making a strong connection to previous material in psychology. Several contributors present important details on classical and novel methods to study behavior over time, and they do so in the context of appropriate statistical methods. This appropriately reflects the growing interest in examining dynamic behaviors by objective measurement. Key experimental design principles are expertly stated, reflecting the growing interest in studying the individual course of development for invariants in behaviors, including some unusual constructs such as cycles and punctuated equilibria. This book also deals with practical contemporary problems in psychology and documents the increased possibility of using clinical research tools. Taken as a whole, this volume is filled with interesting historical points, informative mathematical and statistical analyses, and practical methods. It is the only book addressing the issues of meta-analysis, cyclicity, and confounds to visual inspection of single subject data that considers ways in which statistical software can aid in overcoming these constraints.

Download or read book Time Series Analysis and Macroeconometric Modelling written by Kenneth Frank Wallis and published by Edward Elgar Publishing. This book was released on 1995-01-01 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'An excellent reference volume of this author's work, bringing together articles published over a 25 year span on the statistical analysis of economic time series, large scale macroeconomic modelling and the interface between them.' - Aslib Book Guide This major volume of essays by Kenneth F. Wallis features 28 articles published over a quarter of a century on the statistical analysis of economic time series, large-scale macroeconometric modelling, and the interface between them. The first part deals with time-series econometrics and includes significant early contributions to the development of the LSE tradition in time-series econometrics, which is the dominant British tradition and has considerable influence worldwide. Later sections discuss theoretical and practical issues in modelling seasonality and forecasting with applications in both large-scale and small-scale models. The final section summarizes the research programme of the ESRC Macroeconomic Modelling Bureau, a unique comparison project among economy-wide macroeconometric models.

Download or read book Genetic Programming Theory and Practice XI written by Rick Riolo and published by Springer Science & Business Media. This book was released on 2014-04-01 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: These contributions, written by the foremost international researchers and practitioners of Genetic Programming (GP), explore the synergy between theoretical and empirical results on real-world problems, producing a comprehensive view of the state of the art in GP. Topics in this volume include: evolutionary constraints, relaxation of selection mechanisms, diversity preservation strategies, flexing fitness evaluation, evolution in dynamic environments, multi-objective and multi-modal selection, foundations of evolvability, evolvable and adaptive evolutionary operators, foundation of injecting expert knowledge in evolutionary search, analysis of problem difficulty and required GP algorithm complexity, foundations in running GP on the cloud – communication, cooperation, flexible implementation, and ensemble methods. Additional focal points for GP symbolic regression are: (1) The need to guarantee convergence to solutions in the function discovery mode; (2) Issues on model validation; (3) The need for model analysis workflows for insight generation based on generated GP solutions – model exploration, visualization, variable selection, dimensionality analysis; (4) Issues in combining different types of data. Readers will discover large-scale, real-world applications of GP to a variety of problem domains via in-depth presentations of the latest and most significant results.