Sergio G. Koreisha

  • Refereed Journal Articles
  • Books
  • Refereed Aritcles in Books or Proceedings
  • Articles in Review
  • Work-in-Progress

  • Refereed Journal Articles in Print

    "Using Least Squares to Generate Forecasts in Regressions with Serial Correlation," (2008) Journal Time Series Analysis (with Yue Fang).

    "Forecasting with Regression Models Containing Misspecified Serial Correlation Structures," (2004) Journal of Statistical Computation and Simulation. (with Yue Fang). pdf file

    "Specification of the Order of Vector ARMA Processes," (2004). Journal of Statistical Computation and Simulation. (with Tarmo Pukkila). pdf file

    "Updating ARMA Predictions for Temporal Aggregates," (2004) Journal of Forecasting. (with Yue Fang). pdf file

    "GLS Estimation of Regression Models with Misspecified Serial Correlation," (2001). Journal of the Royal Statistical Society:B. (with Y. Fang)pdf file

    "Using the Residual White Noise Autoregressive Order Determination Criterion to Identify Unit Roots in ARIMA Models," (2000). Communications in Statistics: Simulation & Computation, 29 (with Tarmo Pukkila). pdf file

    "The Selection of the Order and Identification of Nonzero Elements in the Polynomial Matrices of Vector Autoregressive Processes," (1999) Journal of Statistical Computation and Simulation, 62, 207-235 (with Tarmo Pukkila). ).pdf file

    "The Impact of Measurement Errors on Prediction of ARMA Models," (1999) Journal of Forecasting, 18, 95-109 (with Yue Fang). pdf file

    "A 2-Step Approach for Estimating Seasonal Autoregressive Time Series Forecasting Models," (1998) International Journal of Forecasting, 14, 483-496 (with Tarmo Pukkila). pdf file

    "Identification of Seasonal Autoregressive Models," (1995)Journal of Time Series Analysis 16, 267-338 (with Tarmo Pukkila). Abstract pdf file

    "A Comparison Between Different Order Determination Criteria for Identification of ARIMA Models," (1995) Journal of Business & Economic Statistics 13, 127-131 (with T. Pukkila). pdf file

    New Approaches for Determining the Degree of Differencing Necessary to Induce Stationarity in ARIMA Processes," (1993) Journal of Statistical Planning and Inference 36, 39 12 (with Tarmo Pukkila). pdf file

    "Determining the Order of Vector Autoregressions When the Number of Component Series is Large," (1993) Journal of Time Series Analysis 14, 47-69 (with T. Pukkila).pdf file

    Comparison Among Identification Procedures for Autoregressive Moving Average Models," (1991) International Statistics Review 59, 37-57 (with G. Yoshimoto).pdf file

    The Identification of ARMA Models," (1990) Biometrika 77, 537-549 (with T. Pukkila and Kallinen). pdf file

    "Linear Methods for Estimating Autoregressive Moving Average and Regression Models with Serial Correlation," (1990) Communications in Statistics - Simulation & Computation 19, 71-102 (with T. Pukkila).pdf file

    "A Generalized Least Squares Approach for Estimation of Autoregressive Moving Average Models," (1990) Journal of Time Series Analysis 11, 139-151 (with T. Pukkila).

    "Fast Linear Estimation Methods for Vector Autoregressive Moving Average Models," (1989) Journal of Time Series Analysis 10, 325-339 (with T. Pukkila). pdf file

    "Estimation of the Polynomial Matrices of Vector Moving Average Processes," (1988) Journal of St atistical Computation and Simulation 28, 313-343 (with T. Pukkila). pdf file

    "Identification of Nonzero Elements in the Polynomial Matrices of VARMA Processes," (1987) Journal o f the Royal Statistical Society B 49, 112-126 (with T. Pu kkila).pdf file

    "The Specification of Econometric Strike Models: A VARMA Approach," (1987) Applied Economics 19, 511-530 (with G. Hundley). pdf file

    "A VARMA Analysis of the Causal Relations Among Stock Returns, Real Activity and Nominal Inter est Rates," (1985) Journal of Finance 40, 1375-1384 (with C. James & M. Partch). pdf file

    "Identification of Transfer Function Models: An Asymptotic Test of Significance for the Corner Method," (1985) Communications in Statis tics--Theory and Methods 14, 159-174 (with S. Taylor). pdf file

    "A Vector Autoregressive Moving Average Time Series Approach for Describing Asymmetries of Antennal Control of Two Millipede Species," (1984) Journal of Mathematical Biology 19, 281-302 (with R. Franklin & S. Gitszer). pdf file

    "A Time Series Approach for Constructing Expectations Models," (1984) Decision Sciences 15, 177-196.

    "Causal Implications: The Linkage Between Time Series and Econometric Modelling," (1983) Journal of Forecasting 2, 151-168.

    "On Refining the Insights Derived from Energy Models: Comment," (1982) Energy Economics 4, 210-211.

    Modeling: Selective Attention Institutionalized," (1981) Technology Review 83, 64-66 (with R. Stobaugh).

    "The Limitations of Energy Models," (1980) Energy Economics 2, 96-110.


    Applied Time Series Analysis for Forecasting, Graduate School of Management, University of Oregon (225 pages).

    Collaborator in W. Mendenhall, J. Reinmuth, R. Beaver, and D. Duhan, Statistics for Management and Economics: Chap. 13, Time Series Analysis & Forecasting; Chap. 14, Forecasting Models; Duxbury Press, 1986 .

    Collaborator in W. Vandaele, Time Series Models for Business Decisions: Chap. 7, US Residential Construction; Chap. 8, US Unemployment; Chap. 9, The Clorox Company Case; Academic Press, 1983.

    With R. Stobaugh, et al., Energy Future: Report of the Energy Project at the Harvard Business School. New York: Random House, 197 9, 1981, 1983 (in
    German, French, Japanese, Korean, and Spanish; also in The New York Times Best Seller List).

    The Integration of Transfer Functions with Econometric Modeling (unpublished dissertation) Harvard University, 1980.

    Refereed Articles in Books and Proceedings

    "Dealing with Serial Correlation," (2006) in Statistical Analysis: A Festschrift for Tarmo Pukkila, edited by S. Puntanen and E. Liski, University of Tampere Press (with Yue Fang).

    A Unified Methodology for Constructing Multivariate Autoregressive Models, (1999) in Multivariate, Design and Sampling, edited by S. Ghosh; Marcel Dekker, Inc., New York (with T. Pukkila).

    "On the Identification of Vector Autoregressive Models," (1998) Transactions (International Congress of Actuaries) Birmingham, UK (with Tarmo Pukkila).

    A New Approach for Identifying Seasonal Autoregressive Time Series Forecasting Models, (1996) in Aktuarielle Ansatze fur Finanz-Risiken. AFIR. Herausgegeben von Peter Albrech, band II, VVW Karlsruhe, 1075-1094 (with Tarmo Pukkila).

    Does Time Series Model Selection Affect Forecast Performance? Proceedings: American Statistical Association Meetings, Chicago, IL, August 1996 (with Matthew Kramer and William Bell).

    "A Comparison of Automatic and Judgmental ARIMA Model Selection," Proceedings: American Statistical Association Meetings, August 1994 (with William Bell & Matthew Kramer).

    "Excerpts from: The Impact of Price on Market Share: A Multiple Time Series Approach," Proceedings of Western Regional AIDS Conference held at Reno, NV, 1983 (with R. Best).

    "Relationships Between Transfer Functions, Causal Implications and Econometric Modeling Specification," in Applied Time Series Analysis (eds. O. D. Anderson and M. Perryman), North Holland, 1982.


    "Formulation of Box-Jenkins Models for US Residential Construction," Harvard Business School Division of Research, Working Paper 77-50, 1977.

    "Solid Waste Management Alternatives for Contra Costa County," University of California, Berkeley: College of Engineering, IDS 75-1, 1975.

    Several Business Cases.

    In Review

    With Yue Fang, "Efficient Estimation and Inference for Linear Models with Serial Correlation," The Annals of Statistics.

    With Yongli Zhang, "Adaptive Order Determination for Constructing Time Series Forecasting Models," Communications in Statistics: Theory and Methods.


    • "Evaluating the Validity of Inferences When Both Heteroscedasticity and Autocorrelation Are Present," (with Yue Fang).

    • "Should You Trust Tests of Significance in Econometric Models Based on Asymptotically Consistent Methods?" (with Yue Fang).

    • "Estimation and Forecasting of Regression Models with Misspecified ARCH-GARCH Models," (with Yue Fang).

    • "Trends and Temporal Aggregation in Macroeconomic Time Series," (with Yue Fang).