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On the Application of Short-term Causal Models
Umeå University, Faculty of Science and Technology.
1977 (English)Doctoral thesis, monograph (Other academic)
Abstract [en]

Causal (econometric) models are often employed as instruments for for-casting in short-term planning within organizations. The aim of this work is to contribute to an understanding of the short-term aspects of causal model building. The interest focuses mainly on the adjustment problem (as one of a number of data problems) and the problem of auto-correlated disturbances. The general considerations for and against trend and seasonal adjustment in a short-term context are discussed. Furthermore different principles for chosing an appropriate adjustment technique are considered. Imperfections in data and operations performed on the original data, e.g. different adjustments, are some of the causes of auto-correlated disturbances. A multivariate ARMA-process is proposed as one means of taking account of the autocorrelation. An estimation procedure is suggested for recursive systems, the consistency of the estimator is proved and the procedure is applied to an empirical situation: a model for the pulp and paper industry in the United States. Different specifications of the disturbances are compared in the application with regard to fit in observation period and forecasting. Although the model with a multivariate ARMA-specification in disturbances gives a better fit than its alternatives it does not provide better forecasts in a period subsequent to the observation period.

Place, publisher, year, edition, pages
Umeå: Umeå universitet , 1977. , 206 p.
Series
Statistical research report, ISSN 0348-0399 ; 8
National Category
Mathematics
Identifiers
URN: urn:nbn:se:umu:diva-7212OAI: oai:DiVA.org:umu-7212DiVA: diva2:146883
Public defence
1977-11-25, Samhällsvetarhuset hörsak B, Umeå universitet, Umeå, 10:15
Projects
digitalisering@umu
Note

Institute of mathematics and statistics, University of Umeå.

Available from: 2007-02-13 Created: 2007-02-13 Last updated: 2013-06-04Bibliographically approved

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On the Application of Short-term Causal Models(9641 kB)361 downloads
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf