chapter  6
40 Pages

Empirical Analysis

In this monograph we have reviewed different approaches and techniques utilized in time series analysis. The following empirical examples and case studies will demonstrate: (a) different capabilities of seasonal adjustment programs i.e. X-12ARIMA and TRAMO/SEATS, and how to utilize these programs in the best possible manner; (b) possible approaches to forecasting, estimating and testing the relationships between macroeconomic time series such as Cointegration and Granger Causality. These examples and case studies, in particular, will show the synthesis between econometric and time series analysis that has occurred over the past four decades, since the sea-change after the work of Box and Jenkins, and Granger and Newbold, among others.