| Sergio G. Koreisha | ||
| Publications
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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.
Books
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.
Monographs