Relationships--and the Lack Thereof--Between Economic Time Series, with Special Reference to Money and Interest Rates

Neural network forecasting for seasonal and trend time series

“…In the popular Box-Jenkins approach to time series modeling, differencing is used to achieve stationarity in the mean. However, Pierce (1977) and Nelson and Plosser (1982) argued that differencing is not always an appropriate way to handle trend, and linear detrending may be more appropriate. Depending on the nature of the nonstationarity, a time series may be modeled in different ways.…”

Causality between money, interest rates and prices in Taiwan: A multivariate time-series analysis

“…After Granger (1969) proposed the two-variable method for identifying causality, Sims (1972), Pierce (1977), Hsiao (1981Hsiao ( ,1982 and others have successfully advanced new methods for testing causality.. The econometric verification technique has been extended from a general regression model into a Box-Jenkins time-series one referred to as the ARIMA model.…”

“…Selecting the model and the lag involves a considerable amount of effort. Pierce (1977) used a time-series model, detrended the individual series into the residual term, and tested for autocorrelation among the error terms. His approach had a disadvantage in that he ignored the possibility that interdependence may exist between changes in the trends of the variables.…”

Bivariate time-series analysis of the relationship between advertising and sales

“…sales nor the advertising history are very successful in reducing the variance in the series. In the literature on sales and advertising, several sources report R-squares of 0.70 and more, which leads one to observe that (1) R-square is not a good measure of association on longitudinal data (see Pierce, 1977) and (2) that one should not expect very good fit with a limited information set such as the one used in this study. Secondly, one can conclude that the exogenous influences and the added noise are about equally important in explaining deviations from the seasonal pattern in sales (V12S,).'…”