IntroducciÃ³n a Series de Tiempo Univariadas - Centro Microdatos

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Introducción a Series de Tiempo UnivariadasDecember 31, 2010arima discharge d1899, arima(1,0,1)estimates store arima4arima discharge d1899, arima(1,0,0)estimates store arima5arima discharge d1899, arima(0,0,1)estimates store arima6estimates table arima1 arima4 arima5 arima6, stat(aic, bic) b(%7.3g) p(%4.3f)------------------------------------------------------Variable | arima1 arima4 arima5 arima6-------------+----------------------------------------discharge |d1899 | -249 -249 -249| 0.000 0.000 0.000_cons | 921 1098 1099 1098| 0.000 0.000 0.000 0.000-------------+----------------------------------------ARMA |ar |L1. | .861 .0358 .16| 0.000 0.961 0.141|ma |L1. | -.518 .128 .162| 0.000 0.853 0.091-------------+----------------------------------------sigma |_cons | 141 125 125 125| 0.000 0.000 0.000 0.000-------------+----------------------------------------Statistics |aic | 1282 1259 1257 1257bic | 1292 1272 1267 1267------------------------------------------------------100
Introducción a Series de Tiempo UnivariadasDecember 31, 2010REFERENCIASAkaike, H. 1973. Information theory and an extension of the maximum likelihood principle. InSecond International Symposium on Information Theory, B. N. Petrov and F. Csaki (eds.), 267-281.Budapest: Akailseoniai-Kiudo.Balke, N. S. 1993. Detecting level shifts in time series. Journal of Business and Economic Statistics,11, 81-92.Bollerslev, T. 1986. Generalized autoregressive conditional heteroskedasticity. Journal ofEconometrics, 31, 307-327.Bollerslev, T., R. Y. Chou, and K. F. Kroner. 1992. ARCH modeling in finance. Journal ofEconometrics, 52, 5-59.Bollerslev, T., R. F. Engle, and D. B. Nelson. 1994. ARCH models. In Handbook ofEconometrics,Volume IV, R. F. Engle & D. L. McFadden (Eds.) New York: Elsevier.Bowerman, B. L. and R. T. O'Connell. 1993. Forecasting and Time Series: An AppliedApproach, 3rded. Pacific Grove, CA: Duxbury.Box, G. E. P., G. M. Jenkins, and G. C. Reinsel. 1994. Time Series Analysis: Forecastingand Control,3rd ed. Upper Saddle River, NJ: Prentice-Hall.Breusch, T. S. 1978. Testing for autocorrelation in dynamic linear models. Australian EconomicPapers, 17, 334-355.Brockwell, P. J. and R. A. Davis. 2002. Introduction to Time Series and Forecasting, 2nd ed. NewYork: Springer-Verlag.Chatfield, C. 2004. The Analysis of Time Series, 6th ed. Boca Raton, FL: Chapman & Hall/CRC.Cobb, G. W. 1978. The problem of the Nile: Conditional solution to a changepoint problem.Biometrika, 65, 243-251.Dickey, D. A. and W. A. Fuller. 1979. Distribution of the estimators for autoregressive time serieswith a unit root. Journal of the American Statistical Association, 74, 427-431.Durbin, J. 1970. Testing for serial correlation in least-squares regression when some of theregressors are lagged dependent variables. Econometrica, 38, 410-421.Durbin, J. and G. S. Watson. 1950. Testing for serial correlation in least squares regression I.Biometrika, 37, 409-428.Durbin, J. and G. S. Watson. 1951. Testing for serial correlation in least squares regression II.Biometrika, 38, 159-178.101
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