Time Series and Econometric Modelling: Advances in the Statistical Sciences: Festschrift in Honor of Professor V.M. Joshi’s 70th Birthday, Volume III

405 Pages·1986·9.03 MB·English

by  E. J. Hannan (auth.)

TIME SERIES AND ECONOMETRIC MODELLING
THE UNIVERSITY OF WESTERN ONTARIO
SERIES IN PHILOSOPHY OF SCIENCE
A SERIES OF BOOKS
IN PHILOSOPHY OF SCIENCE, METHODOLOGY,
EPISTEMOLOGY, LOGIC, HISTORY OF SCIENCE
AND RELATED FIELDS
Managing Editor
ROBERT E. BUTTS
Dept. of Philosophy, University of Western Ontario, Canada
Editorial Board
JEFFREY BUB, University of Western Ontario
L. JONATHAN COHEN, Queen's College, Oxford
WILLIAM DEMOPOULOS, University of Western Ontario
WILLIAM HARPER, University of Western Ontario
JAAKKO HINTIKKA, Florida State University, Tallahassee
CLIFFORD A. HOOKER, University of Newcastle
HENRY E. KYBURG, JR., University of Rochester
AUSONIO MARRAS, University of Western Ontario
JURGEN MITTELSTRASS, Universitiit Konstanz
JOHN M. NICHOLAS, University of Western Ontario
GLENN A. PEARCE, University of Western Ontario
BAS C. V AN FRAASSEN, Princeton University
VOLUME 36
ADVANCES IN THE STATISTICAL SCIENCES
Festschrift in Honor ofP rofessor V. M. Joshi's 70th Birthday
VOLUME III
TIME SERIES AND
ECONOMETRIC MODELLING
Edited by
IAN B. MacNEILL and GARY J. UMPHREY
Department of Statistical and Actuarial Sciences,
The University of Western Ontario
Associate editors:
RICHARD A. L. CARTER
Department ofE conomics, The University of Western Ontario
A. IAN McLEOD
Department of Statistical and Actuarial Sciences,
The University of Western Ontario
AMANULLAH
Department ofE conomics, The University of Western Ontario
D. REIDEL PUBLISHING COMPANY
A MEMBER OF THE KLUWER ACADEMIC PUBLISHERS GROUP
DORDRECHT/BOSTON/LANCASTER/TOKYO
Library of Congress Cataloging in Publication Data
Time series and econometric modelling.
(Advances in the statistical sciences; v. 3)
(The University of Western Ontario series in philosophy ofscience; v. 36)
1. Time-series analysis-Congresses. 2. Econometric models-Con
gresses. I. MacNeill, Ian B., 1931- . II. Umphrey, Gary J.,
1953- . III. Series. IV. Series: University of Western Ontario
series in philosophy of science; v. 36.
QA276.AIA39 vol. 3 519.5 s 86-29672
[QA280] [519.5'5]
ISBN-13: 978-94-010-8624-0 e-ISBN-13: 978-94-009-4790-0
001: 10.1007/978-94-009-4790-0
Published by D. Reidel Publishing Company,
P.O. Box 17, 3300 AA Dordrecht, Holland.
Sold and distributed in the U.S.A. and Canada
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In all other countries, sold and distributed
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All Rights Reserved
© 1987 by D. Reidel Publishing Company, Dordrecht, Holland
Reprint of the original edition 1987
No part of the material protected by this copyright notice may be reproduced or
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TABLE OF CONTENTS
Contents of the Other Volumes of the Joshi Festschrift . ix
Preface xv
Introduction to Volume III xvii
E. J. HANNAN
Approximation of Linear Systems ............. 1
HIROTUG U AKAIKE
Some Reflections on the Modelling of Time Series 13
QUANG PHUC DUONG
Model Selection and Forecasting:
A Semi-Automatic Approach 29
TIMO TERASVIRTA
Smoothness in Regression: Asymptotic Considerations 47
BENJAMIN KEDEM
A Fast Graphical Goodness of Fit Test for
Time Series Models . . . . . . . . . . 65
BOVAS ABRAHAM
Outliers in Time Series 77
YER VAN HUI AND WAI KEUNG LI
Predicting Demands in a Multi-Item Environment 91
THIAN S. KHEOH AND A. I. McLEOD
On the Efficiency of a Strongly Consistent
Estimator in ARMA Models . . . . . . . . . . . . . . . 101
LEO A. A~OIAN
Recent Results for Time Series in M Dimensions . . . . . . 107
VI TABLE OF CONTENTS
B. C. SUTRADHAR, I. B. MacNEILL AND H. F. SAHRMANN
Time Series Valued Experimental Designs: One-Way
Analysis of Variance with Autocorrelated Errors . . 113
ESTELA BEE DAGUM
Monthly versus Annual Revisions of Concurrent
Seasonally Adjusted Series . . . . . . . . . . . . 131
D:·S. ST.OFFER AND T. PANCHALINGAM
A Walsh-Fourier Approach to the Analysis of
Binary Time Series . . . . . . . . .. ....... 147
OLIVER G. JENSEN AND LALU MANSINHA
Excitation of Geophysical Systems with Fractal
Flicker Noise . . . . . . . . . . . . . . . . . . . . . . 165
ANDREY FEUERVERGER
On Some ECF Procedures for Testing Independence .... 189
C. W. J. GRANGER
Are Economic Variables Really Integrated of Order One? .. 207
PETER C. B. PHILLIPS
Fractional Matrix Calculus and the Distribution of
Multivariate Tests ..... 219
VICTORIA ZINDE-WALSH AND AMAN ULLAH
On Robustness of Tests of Linear Restrictions in
Regression Models with Elliptical Error Distributions . . . . 235
RADHEY S. SINGH, A. ULLAH AND R. A. L. CARTER
Nonparametric Inference In Econometrics:
New Applications ................... 253
H. D. VINOD
Confidence Intervals for Ridge Regression Parameters . . . . 279
SIMON POWER
Asymptotic Properties of Single Equation Errors in
Variables Estimators in Rational Expectations Models ... 301
TABLE OF CONTENTS vii
JEAN-MARIE DUFOUR
Linear Wald Methods for Inference on Covariances
and Weak Exogeneity Tests in Structural Equations .... 317
THOMAS A. PETERS
The Finite Sample Moments of OLS in Dynamic Models
When Disturbances are Small .............. 339
ESFANDIAR MAASOUMI
The Approximate Moments of the 3SLS Reduced Form
Estimator and a MELO Combination
of OLS-3SLS for Prediction ............... 359
MICHAEL R. VEALL
Bootstrapping and Forecast Uncertainty:
A Monte Carlo Analysis . . . . . . . . . . . . . . . . . 373
HIROKI TSURUMI
Use of the Mean Squared Errors of Forecasts in
Testing for Structural Shift: A Comparison with
the Chow Test for an Undersized Case . . . . . . 385
CONTENTS OF THE OTHER VOLUMES
OF THE JOSHI FESTSCHRIFT
VOLUME I
Applied Probability, Stochastic Processes,
and Sampling Theory
W. J. ANDERSON / Probabilistic Models of the Photographic Process
D. BINDER, J. KOVAR, S. KUMAR, D. PATON & A. VAN BAAREN /
Analytic Uses of Survey Data: A Review
M. BLAIS / Transience in a Queueing System with a Finite Number of
Locally Interacting Servers
D. R. BRILLINGER / Fitting Cosines: Some Procedures and Some Physical
Examples
A. CORNISH / V. M. Joshi and the Markov Oscillation Problem
A. F. DESMOND / An Application of Some Curve-Crossing Results for Sta
tionary Stochastic Processes to Stochastic Modelling of Metal Fatigue
R. FERLAND & G. GIROUX / The Convergence of the Solution of a Boltz-
mann Type Equation Related to Quantum Mechanics
W. A. FULLER / Estimators of the Factor Model for Survey Data
J. GANI / Some Recent Work in Epidemic Models
M. GHOSH / On Admissibility and Uniform Admissibility in Finite Popu
lation Sampling
M. A. HIDIROGLOU & D. G. PATON / Some Experiences in Comput
ing Estimates and Their Variances Using Data from Complex Survey
Designs
R. J. KULPERGER / Central Limit Theorems for Cluster Point Processes
D. E. MATTHEWS, CH. E. MINDER & I. McMILLAN / A Stochastic
Model for the Effect of Incident Light Intensity on CO Uptake in Leaves
2
D. L. McLEISH & C. G. SMALL / Likelihood Asymptotics for the Discrim
ination Problem
T. T. NGUYEN / On Frechet Bounds of Bivariate Distributions
ix
x CONTENTS OF OTHER VOLUMES
B. L. S. PRAKASA RAO / Asymptotic Theory of Estimation in Nonlinear
Regression
C. M. RAMSAY / Strong Limit Theorems for Sums of Random Variables
Defined on a Finite Markov Chain
R. M. ROYALL / Overlooked Correlation in Finite Population Inference
A. R. SEN &; P. K. SEN / Estimation of the Characteristics of Rare Animals
Based on Inverse Sampling at the Second Occasion
M. E. THOMPSON / Ideas from the Foundations of Sampling Applied to
the One-Way Layout
P. TODOROVIC / Limit Theorems Arising in Soil Erosion Modelling
S. L. WARNER / Identifying Rational Opinion-Formation with the Over
lapping Information Model
VOLUME II
Foundations of Statistical Inference
M. AKAHIRA &; K. TAKEUCHI/On the Definition of Asymptotic Expec
tation
M. A. ALI/Missing Value Problems in Multiple Linear Regression with
Two Independent Variables
M. M. ALI / A Bound for the Tail Area of the t Distribution for Samples
from a Symmetrically Truncated Normal Population
C. R. BLYTH &; J. V. BONDAR / A Neyman-Pearson-Wald View of Fiducial
Probability
J. V. BONDAR / How Much Improvement Can a Shrinkage Estimator
Give?
A. P. DEMPSTER / Probability and the Future of Statistics
M. EVANS, D. A. S. FRASER &; G. MONETTE / Statistical Principles and
Tangent Models
D. A. S. FRASER &; H. MASSAM / An Algorithm for Concave Regression
V. P. GODAMBE / Data Based Choice of an Ancillary Statistic
I. GUTTMAN &; M. S. SRIVASTAVA / Bayesian Method of Detecting
Change Point in Regression and Growth Curve Models
M. S. HAQ / On the Prediction of the Difference Between Responses from
Two Linear Models
CONTENTS OF OTHER VOLUMES Xl
L. V. HEDGES & I. OLKIN / Statistical Inference for the Overlap Hypoth
eSIS
H. E. KYBURG, JR. / The Basic Bayesian Blunder
C.-I. C. LEE / Maximum Likelihood Estimates for Stochastically Ordered
Multinomial Populations with Fixed and Random Zeros
D. V. LINDLEY / Bernoulli Pairs with Invariant Reversals: An Example of
Partial Likelihood
S. NISHISATO / Robust Techniques for Quantifying Categorical Data
A. PLANTE / A Decision-Likelihood Solution to the Problem of Comparing
Two Simple Hypotheses
J. L. POLLOCK / Sketch of the Theory of Nomic Probability
S. B. PROVOST / Testing for the Nullity of the Multiple Correlation Coef
ficient with Incomplete Multivariate Data
A. K. Md. E. SALEH & P. K. SEN / On Shrinkage and Preliminary Test
M-Estimation in a Parallelism Problem
T. SEIDENFELD / Entropy and Uncertainty
B. SKYRMS / Dynamic Coherence
D. S. TRACY & K. G. JINADASA / On Ultrastructural Relationships Mod
els
VOLUME IV
Stochastic Hydrology
B. A. BODO AND T. E. UNNY / On the Outputs of the Stochasticized
Nash-Dooge Linear Reservoir Cascade
F. CAMACHO, A. I. McLEOD & K. W. HIPEL / The Use and Abuse of
Multivariate Time Series Models in Hydrology
J. P. CHANUT, M. I. EL-SABH, M. MARCHETERRE & R. ROY / A
Stochastic Modelling of Tidal Current Measurements
N. R. DALEZIOS, P. A. TYRASKIS & B. G. LATHAM / Autoregressive
Empirical Modelling of Multiple Precipitation Time Series
J. KELMAN / Statistical Approach to Floods
C. LABATIUK & K. ADAMOWSKI / Application of Nonparametric Den
sity Estimation to Computation of Flood Magnitude/Frequency