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Introduction au traitement des séries chronologiques

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  • David, M.
  • Bonnieux, François
  • Rainelli, Pierre

Abstract

The objective of this paper is to survey recent progresses in the analysis of economic time series. It is a difficult task because this analysis involves sophisticated mathematical materials. Therefore examples are used to highlight the relevant economical and statistical aspects. The first section is devoted to seasonal adjustment. After an appraisal of techniques the X1 1 algorithm is used to estimate the monthly component of a long time series which concerns wheat supply during the nineteenth century. In a second section, the example of wheat market helps us to present the spectral representation of a stationary time series. Cospectral analysis is used to compare the structure of serial dépendance of quantity and price series. An interpretation of the results based on general historical arguments is proposed. The final section consists in an insignt of the procedure of Box and Jenkins for modelling series. It is illustrated by a problem of fisheries economics.

Suggested Citation

  • David, M. & Bonnieux, François & Rainelli, Pierre, 1983. "Introduction au traitement des séries chronologiques," Économie rurale, French Society of Rural Economics (SFER Société Française d'Economie Rurale), vol. 157.
  • Handle: RePEc:ags:ersfer:350060
    DOI: 10.22004/ag.econ.350060
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    Research Methods/Statistical Methods;

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