Econometric Analysis of Seasonal Time Series

Eric Ghysel, Denise R. Osborn - Collection Themes in modern econometrics

228 pages, parution le 28/04/2004

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Résumé

Eric Ghysels and Denise R. Osborn provide a thorough and timely review of the recent developments in the econometric analysis of seasonal economic time series, summarizing a decade of theoretical advances in the area. The authors discuss the asymptotic distribution theory for linear nonstationary seasonal stochastic processes. They also cover the latest contributions to the theory and practice of seasonal adjustment, together with its implications for estimation and hypothesis testing. Moreover, a comprehensive analysis of periodic models is provided, including stationary and nonstationary cases. The book concludes with a discussion of some nonlinear seasonal and periodic models. The treatment is designed for an audience of researchers and advanced graduate students.

Sommaire

Introduction to seasonal processes
Deterministic Seasonality
Seasonal unit root processes
Seasonal adjustment programs
Estimation and hypothesis testing with unfiltered and filtered data
Periodic processes
Some nonlinear seasonal models

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	PAPIER
Éditeur(s)	Cambridge University Press
Auteur(s)	Eric Ghysel, Denise R. Osborn
Collection	Themes in modern econometrics
Parution	28/04/2004
Nb. de pages	228
Format	15 x 23
Couverture	Broché
Poids	355g
Intérieur	Noir et Blanc
EAN13	9780521565882
ISBN13	978-0-521-56588-2