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Bureau of the Census Statistical Research Division Report Series: A Time Varying Multivariate to Regressive Modeling of Econometric Time Series*

By Gersch, Will

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Book Id: WPLBN0000597904
Format Type: PDF eBook
File Size: 1,280,312 KB.
Reproduction Date: 2005

Title: Bureau of the Census Statistical Research Division Report Series: A Time Varying Multivariate to Regressive Modeling of Econometric Time Series*  
Author: Gersch, Will
Volume:
Language: English
Subject: Government publications, Census., Census report
Collections: U.S. Census Bureau Collection
Historic
Publication Date:
Publisher: U.S. Census Bureau Department

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Gersch, W. (n.d.). Bureau of the Census Statistical Research Division Report Series: A Time Varying Multivariate to Regressive Modeling of Econometric Time Series*. Retrieved from http://netlibrary.net/


Description
Statistical Reference Document

Excerpt
Introduction: Economic, environmental and engineering data are often collected at equally spaced time intervals. In many problems such time series may be available from several related variables. It is of interest to model and analyze such series jointly to understand the dynamic relationships among them and to enhance the accuracy of forecasts. The series of concern here are of relatively short duration, 100 not 1000 observations, and each series can exhibit slowly varying as well as relatively rapidly varying components. Our emphasis is on the modeling of the relatively rapid fluctuations. In the context of economic data, this is a concern for modeling the dynamic rather than the relatively static interrelationships. To enable that modeling, each time series is individually detrended and the remaining simultaneous multivariate time series are modeled without the constraining assumptions of stationarity. It may be anticipated that the relationships betyeen logically related economic components may change ...

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