TIME SERIES ANALYSIS OF BOUNDED ECONOMIC VARIABLES
作者:
Kenneth F. Wallis,
期刊:
Journal of Time Series Analysis
(WILEY Available online 1987)
卷期:
Volume 8,
issue 1
页码: 115-123
ISSN:0143-9782
年代: 1987
DOI:10.1111/j.1467-9892.1987.tb00425.x
出版商: Blackwell Publishing Ltd
关键词: Time series;bounded variables;logistic transformation;logarithmic transformation;likelihood ratio criterion;transformation bias
数据来源: WILEY
摘要:
Abstract.We propose the logistic transformation as an appropriate instantaneous transformation for time series variables known to be bounded, such as those measured as proportions, and present an application to two unemployment rate series. Since such series are often analysed in logarithmic form, the two transformations are compared, and a likelihood ratio selection criterion is developed, which marginally favours the logistic transformation. We consider the question of transformation bias and its removal. The logistic transformation of bounded variables ensures consistency with the limiting behaviour and is symmetric, thus on transforming and modelling the unemployment rate or its complement, the employment rate, equivalent results are obtained.
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