TimeSeriesBook.pdf

Modeling real gdp of switzerland 110 present

Info icon This preview shows pages 430–433. Sign up to view the full content.

View Full Document Right Arrow Icon
modeling real GDP of Switzerland, 110 present discounted value model, 312 Swiss Market Index, 201 term structure of interest rate, 176 unit root test, 161 Expectation, adaptive, 62 Exponential smoothing, 60 Factor model, dynamic, see Dynamic factor model FEVD, see also Forecast error vari- ance decomposition Filter gain function, 133 Gibbs phenomenon, 135 high-pass, 135 Hodrick-Prescott filter, 135 HP-filter, 135 Kuznets filter, 133 low-pass, 134 phase function, 133 TRAMO-SEATS, 138 transfer function, 132 X-11 filter, 138 X-12-Filter, 138 Filter, time invariant, 130 Filtering problem, 350 Final form, see Autoregressive final form Forecast error variance decomposition, 289 Forecast evaluation Bias proportion, 266 Covariance proportion, 266 Mean-absolute-error, 266 Out-of-sample strategy, 267 Root-mean-squared-error, 266 Uncertainty, 267 Variance proportion, 266 Forecast function, 47 AR(p) process, 51 ARMA(1,1) process, 56 forecast error, 49 infinite past, 55 linear, 47 MA(q) process, 52 variance of forecast error, 50 Forecast, direct, 271 Forecast, iterated, 260, 267, 271 Fourier frequencies, 126 Fourier transform, discrete, 126 FPE, see Information criterion, 264 Frequency domain, 117 Gain function, 133 Gauss Markov theorem, 98 Growth component, 135 HAC variance, see also variance, het- eroskedastic and autocorrela- tion consistent Harmonic process, 57, 123
Image of page 430

Info icon This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
412 INDEX Hodrick-Prescott filter, 135 HQC, see Information criterion, 108, see Information criterion, 263 Identification Kalman filter, 359 Identification problem, 280 Impulse response function, 33, 38 Information criterion, 108, 263 AIC, 108, 263 BIC, 108, 263 Final prediction error, 264 FPE, 264 Hannan-Quinn, 263 HQC, 108 Schwarz, 108, 263 Innovations, 59 Integrated GARCH, 194 Integrated process, 109 Integrated regressors rules of thumb, 175 Integration, order of, 142 Intercept correction, 271 Invertibility, 38 Johansen test distribution, asymptotic, 334 hypothesis tests over β , 334 max test, 332 trace test, 332 Kalman filter, 352 application basic structural model, 363 estimation of quarterly GDP data, 360 AR(1) process, 351, 355 assumptions, 340 causal, 341 EM algorithm, 358 filtering problem, 350 forecasting step, 352 gain matrix, 353 identification, 359 initialization, 353 likelihood function, 357 Markov property, 341 measurement errors, 355 observation equation, 340 prediction problem, 350 smoother, 354 smoothing problem, 350 stable, 341 state equation, 340 stationarity, 341 updating step, 353 Kalman smoother, 354 Kernel function, 85 bandwidth, 86 optimal, 87 rule of thumb, 87 Bartlett, 85 boxcar, 85 Daniell, 85 lag truncation parameter, 86 optimal, 87 quadratic spectral, 85 Tukey-Hanning, 85 Lag operator, 26 calculation rules, 26 definition, 26 polynomial, 27 Lag polynomial, 27 Lag truncation parameter, 86 Lag window, 126 Leading indicator, 227, 277 Least-squares estimator, 97, 103 Likelihood function, 101, 357 ARMA process, 101 Kalman filter, 357 Ljung-Box statistic, 80 Loading matrix
Image of page 431
INDEX 413 definition, 323 Local linear trend model, 345 Long-run identification, 305 instrumental variables, 306 m-dependence, 379 MA process, 15, 27 autocorrelation function, 28 autocovariance function, 20, 28 MAE, 266 Matrix norm, 219 absolute summability, 220 quadratic summability, 220 submultiplicativity, 220 Maximum likelihood estimator, 102, 197 ARMA(p,q) model, 101 asymptotic distribution, 104 AR process, 105 ARMA(1,1) process, 105
Image of page 432

Info icon This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
Image of page 433
This is the end of the preview. Sign up to access the rest of the document.

{[ snackBarMessage ]}

What students are saying

  • Left Quote Icon

    As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

    Student Picture

    Kiran Temple University Fox School of Business ‘17, Course Hero Intern

  • Left Quote Icon

    I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

    Student Picture

    Dana University of Pennsylvania ‘17, Course Hero Intern

  • Left Quote Icon

    The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

    Student Picture

    Jill Tulane University ‘16, Course Hero Intern