Text References

 

Abraham & Ledolter, Statistical Methods for Forecasting , Wiley 1983.

Anderson, O.D. (1975). Time Series Analvsis and Forecasting. London: Butterworth & Co.

Bell, W. (1983). "A Computer Program for Detecting Outliers in Time Series," in American Statistical Association 1983 Proceedings of the Business Economic Statistics Section, Toronto, pp. 624-639.

Bell, W.R., Hillmer, S.C. and Tiao, G.C. (1983), "Modeling considerations in the seasonal adjustment of economic time series." in Applied Time Series Analysis of Economic Data , Bureau of the Census, Economic Research Report ER-5. A. Zellner, Ed. p. 74-100.

Box, G.E.P., and Cox, D.R. (1964). "An Analysis of Transformations (with discussion)," Journal of the Royal Statistical Society, B26, pp. 211-252.

Box, G.E.P., and Jenkins, G.M. (1976). Time Series Analysis: Forecasting and Control, 2nd ed. San Francisco: Holden Day.

Box, G.E.P., and Tiao, G. (1975). "Intervention Analysis with Applications to Economic and Environmental Problems," Journal of the American Statistical Association, Vol 70, pp. 70-79.

Box, G.E.P., S. Hillmer and G.C. Tiao, (1976), "Analysis and modeling of seasonal time series," Seasonal Analysis of Economic Time Series , U.S. Dept. of Commerce, Bureau of the Census, p. 309 -334.

Brockwell, P. J., and Davis, R. A., Time Series: Theory and Methods
Springer-Verlag 1987.

Chang, I., and Tiao, G.C. (1983). "Estimation of Time Series Parameters in the Presence of Outliers," Technical Report #8, Statistics Research Center, Graduate School of Business, University of Chicago, Chicago.

Chen, C. and C. J. Lee, (1990) "A Vector ARMA Test of Gibson Paradox", Review of Economics and Statistics , May 1990, p 96-107.

Chen, C. and G. C. Tiao (1990) "Random Level Shift Time Series Models, ARIMA approximations, and Level Shift Detection" The Journal of Business and Economic Statistics , January, 1990, p.81-96.

Chen, C., and L. M. Liu, (1993), "Joint Estimation of Model Parameters and Outlier Effects in Time Series," JASA, 88, p.276-289.

Cleveland, W. S. and G. C. Tiao (1976), "Decomposition of seasonal time series: a model for the Census X-11 program," JASA, 71, p.581-586.

Cryer, Time Series Analysis PWS Publisher 1986.

Dickey, D.A. and Fuller, W. A. (1979), "Distribution of the estimators for autoregressive time series with a unit root," JASA, 74 No. 366, p 427-431.

Draper, N.R., and Smith, H. (1967). Applied Regression Analysis. New York: Wiley.

Downing, D.J., and McLaughlin, S.B. (1986). "Detecting Shifts in Radical Growth Rates by the Use of Intervention Detection," Engineering Physics and Mathematics Division, Oak Ridge National Laboratory, Oak Ridge.

Fuller, Introduction to Statistical Time Series , Wiley
1976.

Granger and Newbold, Forecasting Economic Time Series
Academic Press 1977.

Hillmer, S.C. and Tiao, G.C., (1979), "Likelihood function of stationary multiple autoregressive moving average models", JASA , 74 , No. 367, p.652-660.

Hillmer, S.C. and Tiao, G.C., (1982), "An ARIMA-model-based approach to seasonal adjustment", JASA , 77 , p.63-70

Liu, L.M., and Hanssens, D.M. (1982). "Identification of Multiple-Input Transfer Function Models," Communications in Statistics - Theory and Methods, 11(3), pp. 297-314.

Liu, L. M., G. Hudak, G.E.P. Box, M. E. Muller, and G. C. Tiao (1986), The SCA Statistical System: Reference Manual for Forecasting and Time Series Analysis. Scientific Computing Associates, P. O. Box 625, DeKalb, Illinois 60115.

Mabert, V.A. (1975). "An Introduction to Short Term Forecasting Using the Box-Jenkins Methodology", Publication #2 AIIE Monograph Series, Production Planning and Control Division, Norcross, Georgia.

Makridakis, S., Wheelright, S. and McGee, V. (1983). Forecasting: Methods and Applications. New York: Wiley.

McCleary, R., and Hay, R. (1980). Applied Time Series Analysis for the Social Sciences. Los Angeles: Sage.

Mills, Terence C. (1990). Time Series Techniques for Economists. New York: Cambridge University Press.

Nelson, C.R. (1973). Applied Time Series Analysis for Managerial Forecasting. San Francisco: Holden Day.

Pack, D.J. (1978). "Forecasting Time Series Affected by Identified Isolated Events," College of Administrative Science, The Ohio State University, Ohio.

Pack, D.J. (1977). "Revealing Time Series Interrelationships," Decision Sciences, 8, pp. 377-402.

Priestley, Spectral Analysis and Time Series , Academic Press 1981.

Quenouille, M.H. (1957). The Analysis of Multiple Time Series. London: Charles Griffin & Company.

Reilly, D.P. (1980). "Experiences with an Automatic Box-Jenkins Modeling Algorithm," in Time Series Analysis, ed. O.D. Anderson. (Amsterdam: North-Holland), pp. 493-508.

Reilly, D.P. (1987). "Experiences with an Automatic Transfer Function Algorithm," in Computer Science and Statistics Proceedings of the 19th Symposium on the Interface, ed. R.M. Heiberger, (Alexandria, VI: American Statistical Association), pp. 128-135.

Said, S.E. and D. A. Dickey (1985), "Hypothesis testing in ARIMA(p,1,q) models," JASA , p.369-374.
Shumway, R.H. (1988). Applied Statistical Time Series Analysis. Englewood Cliffs: Prentice Hall.

Tiao, G.C., and Box, G.E.P. (1981). "Modeling Multiple Time Series with Applications," Journal of the American Statistical Association, Vol. 76, pp. 802-816.

Tiao, G.C. and Hillmer, S.C. (1978), "Some consideration of decomposition of a time series", Biometrika , 65 , No 3, p. 497-502.

Tiao, G. C. and R. S. Tsay (1983), "Multiple Time Series Modeling and extended sample cross correlations", JBES, p.43-56.

Tiao, G. C. and R. S. Tsay (1989), "Model Specification in Multivariate Time Series", JRSSB 51 p.157-213.

Tsay, R.S. (1986). "Time Series Model Specification in the Presence of Outliers," Journal of the American Statistical Society, Vol. 81, pp. 132-141.

Tsay, R.S., and Tiao, G.C. (1983). "Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models," Technical Report #2, Statistics Research Center, Graduate School of Business, University of Chicago, Chicago.

Tiao, G.C. and R.S. Tsay (1983), "Consistency properties of least squares estimates of autoregressive parameters in ARMA models", AnlsStat, p.856-871.

Tsay, R. S. (1985), "Model Identification in Dynamic Regression (Distributed Lag) Models," Journal of Business and Economic Statistics , 3 , 228-237.

Vandaele, W. (1983). Applied Time Series and Box-Jenkins Models. Orlando: Academic Press.

Wei, W. (1989). Time Series Analysis Univariate and Multivariate Methods. Redwood City: Addison Wesley.

West and Harrison (1989). Bayesian Forecasting and Dynamic Models , Springer-Verlag

 
Go to top
Banner
Banner
Banner
Banner
Banner