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Title:Time Series Analysis and Indicators of Economic Activity (Forecasting)
Author(s):Nazmi, Nader
Department / Program:Economics
Discipline:Economics
Degree Granting Institution:University of Illinois at Urbana-Champaign
Degree:Ph.D.
Genre:Dissertation
Subject(s):Economics, General
Abstract:Some of the problems involved in identification of time series models and forecasting variables of interest are considered. A theoretical/empirical comparison of various information criteria of interest is provided and it is concluded that Hannan and Kavalieris criterion is the most appropriate criterion to be used for model selection. Appropriate time series models for forecasting state income tax receipts are identified by employing information criteria and Box-Cox transformation. Furthermore, bivariate time series models with the index of leading indicators as the input variable are used to forecast a coincident indicator of interest. The weights assigned to the elements of the index of leading indicators are found by constructing and minimizing the variance of forecast error function for several steps ahead forecasting.
Issue Date:1985
Type:Text
Description:182 p.
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 1985.
URI:http://hdl.handle.net/2142/70767
Other Identifier(s):(UMI)AAI8600275
Date Available in IDEALS:2014-12-16
Date Deposited:1985


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