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Empirical Comparisons of Seasonal Arima and Arima Component (Structural) Time Series Models

By Bell, William R.

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Book Id: WPLBN0000596596
Format Type: PDF eBook
File Size: 1,168,073 KB.
Reproduction Date: 2005
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Title: Empirical Comparisons of Seasonal Arima and Arima Component (Structural) Time Series Models  
Author: Bell, William R.
Volume:
Language: English
Subject: Government publications, Census., Census report
Collections: U.S. Census Bureau Collection
Historic
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Publisher: U.S. Census Bureau Department

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Bell, W. R. (n.d.). Empirical Comparisons of Seasonal Arima and Arima Component (Structural) Time Series Models. Retrieved from http://hawaiilibrary.net/


Description
Statistical Reference Document

Excerpt
Introduction: Two popular models for seasonal time series are multiplicative seasonal ARIMA (autoregressive-integrated-moving average) models (Box and Jenkins 1970) and ARIMA component (structural) models (Harvey 1989). Despite the rising popularity of ARIMA component models in the time series literature of recent years, empirical studies comparing these models with seasonal ARIMA models have been relatively rare. One exception is Bell and Pugh (1990), hereafter BP, which compared seasonal ARIMA models and the basic structural model (BSM) of Harvey and Todd (1983) on a set of 45 time series. The present paper extends the work of BP to include empirical comparisons of seasonal ARIMA - models with ARIMA component models that use the trigonometric seasonal models of Harvey (1989). Section 2 briefly reviews some relevant literature. The specific models to be compared are then presented in section 3. Section 4 discusses the data used and section 5 presents the empirical comparisons of model fit. Section 6 discus ...

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