"Frontmatter". In: Analysis of Financial Time Series

78 LINEAR TIME SERIES ANALYSIS AND ITS APPLICATIONSBuild an AR model for the y t series. Does the fitted model suggest the existenceof business cycles?11. The quarterly gross domestic product implicit price deflator is often used as ameasure of inflation. The file “gdpipd.dat” contains the data for U.S. from thefirst quarter of 1947 to the last quarter of 2000. The data are seasonally adjustedand equal to 100 for year 1996. Build an ARIMA model for the series and checkthe validity of the fitted model. The data are obtained from the Federal ReserveBank of St Louis.REFERENCESAkaike, H. (1973), “Information Theory and an Extension of the Maximum Likelihood Principle,”in B.N. Petrov and F. Csaki, ed. 2nd International Symposium on Information Theory,267–281. Akademia Kiado: Budapest.Box, G. E. P., Jenkins, G. M., and Reinsel, G. C. (1994), Time Series Analysis: Forecastingand Control, 3rd edition, Prentice Hall: Englewood Cliffs, New Jersey.Box, G. E. P., and Pierce, D. (1970), “Distribution of Residual Autocorrelations in Autoregressive-IntegratedMoving Average Time Series Models,” Journal of the American StatisticalAssociation, 65, 1509–1526.Brockwell, P. J., and Davis, R. A. (1996), Introduction to Time Series and Forecasting,Springer: New York.Brockwell, P. J., and Davis, R. A. (1991), Time Series: Theory and Methods, 2nd edition,Springer-Verlag: New York.Chan, N. H., and Wei, C. Z. (1988), “Limiting Distributions of Least Squares Estimates ofUnstable Autoregressive Processes,” Annals of Statistics, 16, 367–401.Dickey, D. A., and Fuller, W. A. (1979), “Distribution of the Estimates for AutoregressiveTime Series with a Unit Root,” Journal of the American Statistical Association, 427–431.Ding, Z., Granger, C. W. J., and Engle, R. F. (1993), “A Long Memory Property of StockReturns and a New Model,” Journal of Empirical Finance,1,83–106.Fuller, W. A. (1976), Introduction to Statistical Time Series, Wiley: New York.Greene, W. H. (2000), Econometric Analysis, 4th edition, Prentice-Hall: Upper Saddle River,New Jersey.Hosking, J. R. M. (1981), “Fractional Differencing,” Biometrika, 68, 165–176.Ljung, G., and Box, G. E. P. (1978), “On a Measure of Lack of Fit in Time Series Models,”Biometrika, 66, 67–72.Phillips, P. C. B. (1987), “Time Series Regression with a Unit Root,” Econometrica, 55, 277–301.Shumway, R. H., and Stoffer, D. S. (2000), Time Series Analysis and its Applications,Springer-Velag: New York.Tiao, G. C., and Tsay, R. S. (1983), “Consistency Properties of Least Squares Estimates ofAutoregressive Parameters in ARMA Models,” Annals of Statistics, 11, 856–871.Tsay, R. S., and Tiao, G. C. (1984), “Consistent Estimates of Autoregressive Parameters andExtended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models,”Journal of the American Statistical Association, 79, 84–96.