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Time Series Analysis: Further Reading
 

If you would like to learn more about Time Series Analysis, here are some suggestions for further reading material. You can also contact the Time Series Analysis Section of the Australian Bureau of Statistics by email: time.series.analysis@abs.gov.au

Australian Bureau of Statistics (1999a). "The new method for seasonally adjusting crop production data" in Australian Economic Indicators, July 1999 (cat. no. 1350.0). Australian Bureau of Statistics, Canberra, Australia.

Australian Bureau of Statistics (1999b). Introduction of Concurrent Seasonal Adjustment into the Retail Trade Series (cat. no 8514.0). Australian Bureau of Statistics, Canberra, Australia.

Australian Bureau of Statistics (2003). Information Paper: A Guide to Interpreting Time Series - Monitoring Trends (cat. no. 1349.0). Australian Bureau of Statistics, Canberra, Australia.

Australian Bureau of Statistics (2005). An Introductory Course on Time Series Analysis -- Electronic Delivery (cat. no. 1346.0.55.001). Australian Bureau of Statistics, Canberra, Australia.

Bell, P. (1999). The Impact of Sample Rotation Patterns and Composite Estimation on Survey Outcomes, Working Papers in Econometrics and Applied Statistics, No. 99/1, (cat. no. 1351.0). Australian Bureau of Statistics, Canberra, Australia.

Bell, W.R. and Hillmer, S.C. (1984). Issues Involved with the Seasonal Adjustment of Economic Time Series, Journal of Business and Economic Statistics, 2, 291-320.

Binder, D.A. and Hidiroglou M. (1988). Sampling in Time, in Handbook of Statistics, Vol. 6, ed. By P.R. Krishaiah and C.R. Rao, Elsevion Science Publishers, B.V., 187-211.

Box, G.E.P; Jenkins, G.M. (1970). Time Series Analysis: Forecasting and Control, published by Holden-Day.

Cannon, J. (2000). Diagnostic Measures for Comparing Direct and Aggregative Seasonal Adjustments, Working Papers in Econometrics and Applied Statistics, No. 2000/1, (cat. no. 1351.0). Australian Bureau of Statistics, Canberra, Australia.

Cannon, J. and Van Halderen, G. (2000). Aggregation and ABS Time Series. Methodology Advisory Committee Research Paper, July 1999 (cat. no. 1352.0.55.030). Australian Bureau of Statistics, Canberra, Australia.

Cantwell, P.J., and Caldwell, C.V. (1998). Examining the Revisions in Monthly Retail and Wholesale Trade Surveys Under a Rotating Panel Design. Journal of Official Statistics, Vol. 14, No. 1, 47-59.

Chatfield, C. (1996). The analysis of time series : an introduction. (5th edition). London, Chapman and Hall.

Cleveland, R.B., Cleveland, W.S., McRae, J.E., and Terpenning, I. (1990). STL: A Seasonal-Trend Decomposition Procedure Based on Loess, Journal of Official Statistics, Vol. 6, No. 1., 3-73.

Dagum, E.B. (1980). The X11ARIMA Seasonal Adjustment Method. Ottawa: Statistics Canada, cat. 12-564E.

Dagum, E.B., Chhab, N. and Chiu, K. (1996). Derivation and Properties of the X11ARIMA and Census X11 Linear Filters. Journal of Official Statistics, 12, No. 4, 329-347.

Doherty, M.(1992). The Surrogate Henderson Filters in X11, Statistics New Zealand, Working Paper.

Doherty, M. (2001). The Surrogate Henderson Filters in X11, Australia & New Zealand Journal of Statistics, Vol 43, No. 4, 385-392.

Durbin, J. (2000). The Foreman lecture: The state space approach to time series analysis and its potential for official statistics (with Discussion), Australia & New Zealand Journal of Statistics, Vol 42, No. 1, 1-24.

Findley, D.F., Monsell, B.C., Bell, W.R., Otto, M.C. and Chen B. (1998). New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program. Journal of Business and Economic Statistics, Vol. 16, No. 2., 127-177.

Gray, A. and Thomson, P. (1996a). Design of moving-average trend filters using fidelity, smoothness and minimum revisions criteria, Bureau of the Census, RR96/01.

Gray, A. and Thomson, P. (1996b). Design of moving-average trend filters using fidelity and smoothness criteria in Vol 2: Time Series Analysis in Memory of E.J. Hannan. ed. P.Robinson and M. Rosenblatt. Springer Lecture Notes in Statistics 115, 205-219.

Gray, A. and Thomson, P. (1996c). On a family of moving-average trend filters for the ends of series. Proceedings of the American Statistical Association, Section on Survey Research Methods, 1996.

Henderson, R. (1916). Note on Graduation by Adjusted Average. Transactions of the American Society of Actuaries, 17, 43-48.

Harvey, A. (1990). Forecasting, structural time series models, and the Kalman filter. Published by Cambridge University Press.

Kenny, P.B., and Durbin, J. (1982). Local Trend Estimation and Seasonal Adjustment of Economic and Social Time Series. Journal of the Royal Statistical Society, Series A, 145, 1-41.

Ladiray, D. and Quenneville, B. (2001). Seasonal Adjustment with the X-11 method, New York: Springer Verlan, Lecture notes in statistics, 158.

Laniel, N. (1985). Design criteria for 13 term Henderson end-weights. Technical Report Working paper TSRA-86-011, Statistics Canada, Ottawa K1A 0T6.

Leung C., McLaren C.H., Zhang X,. (1999). Adjusting for an Easter Proximity Effect, Working Papers in Econometrics and Applied Statistics, No. 99/3, (cat. no. 1351.0). Australian Bureau of Statistics, Canberra, Australia. (N.B. This paper is located on the same page as Working Papers in Econometrics and Applied Statistics: No 99/2 Seasonal Adjustment - Comparison of Philosophies, Dec 1999. Go to the downloads tab to find both papers.)

Macaulay, F. (1931). The smoothing of time series. National Bureau of Economic Research, New York.

McLaren, C.H. (1999). Designing Rotation Patterns and Filters for Trend Estimation in Repeated Surveys Unpublished PhD. Thesis, University of Wollongong, NSW, Australia.

Pena, D., Tiao, G.C. and Tsay, R.S. eds (2001). A Course in Time Series Analysis. Wiley Series in Probability and Statistics. Wiley-Interscience, New York.

Pierce, D.A. (1980). Data Revisions with Moving Average Seasonal Adjustment Procedures. Journal of Econometrics, 14, 95-114.

Shiskin, J., Young, A. H. And Musgrave, J.C. (1967). The X11 Variant of the Census Method II Seasonal Adjustment Program. Technical Paper 15, Bureau of the Census, U.S. Department of Commerce, Washington, D.C.

Sutcliffe, A. and Lee, G. (1995). Seasonal Analysis and Sample Design. Paper presented at the Conference of Survey Measurement and Process Quality, Bristol 1995.

Sutcliffe, A. (1993). X11 Time Series Decomposition and Sampling Errors. Working Papers in Econometrics and Applied Statistics, No. 93/2. Australian Bureau of Statistics, Canberra, Australia.

Sutcliffe, A. (1999). Seasonal adjustment: Comparison of Philosophies. Working Papers in Econometrics and Applied Statistics, No. 99/2, (cat. no. 1351.0). Australian Bureau of Statistics, Canberra, Australia.

Von Sanden, N. and Zhang, X.M. (2001). Use of concurrent seasonal adjustment for economic time series: the case for Retail Survey. Methodology Advisory Committee Research Paper, June 2001 (cat. no. 1352.0.55.039). Australian Bureau of Statistics, Canberra, Australia.

Wallis, K.F. (1982). Seasonal Adjustment and Revision of Current Data: Linear filters for the X11-method. Journal of the Royal Statistical Society, Series A, 145, 74-85.

Wei, W.W.S. (1993). Time Series Analysis: Univariate and Multivariate Methods. Published by Addison-Wesley.

Zhang, X.M. and Apted, L. (2008). Temporal Aggregation and Seasonal Adjustment. Methodology Advisory Committee Research Paper, June 2008 (cat. no. 1352.0.55.095). Australian Bureau of Statistics, Canberra, Australia.

Zhang, X., McLaren, C.H., Leung, C.C.S. (2001). An Easter proximity effect: modelling and adjustment. Australian & N.Z. Journal of Statistics Vol. 43, No. 3, 269-280.

Zhang, X.M., Von Sanden, N., Menezes, Z. and McLaren, C. (2006). Some Aspects of Turning Point Detection in Seasonally Adjusted and Trend Estimates. Methodology Advisory Committee Research Paper, June 2006 (cat. no. 1352.0.55.079). Australian Bureau of Statistics, Canberra, Australia.

Zhang, X.M. and Sutcliffe, A. (2001). Use of ARIMA Models for Improving the Revisions of X-11 Seasonal Adjustment. Methodology Advisory Committee Research Paper, November 2001 (cat. no. 1352.0.55.042). Australian Bureau of Statistics, Canberra, Australia.


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