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Autor: Philip Hans Franses
ISBN-13: 9780198774549
Einband: Taschenbuch
Seiten: 248
Gewicht: 345 g
Format: 234x156x13 mm
Sprache: Englisch
Erscheinungsdatum: 01.08.1996

Periodicity and Stochastic Trends in Economic Time Series

Advanced Texts in Econometrics
 Taschenbuch
Besorgungstitel  |
 Lieferzeit: 3-5 Tage  
This text provides a self-contained account of periodic models for seasonally observed economic time series with stochastic trends. The analysis considers econometric theory, Monte Carlo simulation and forecasting, and it is illuminated with empirical time series.
Concepts in time series analysis; an introduction to seasonal time series; seasonal adjustment; seasonal integration and cointegration; are seasons, trends and cycles always independent?; periodic autoregressive time series models; periodic integration; periodic cointegration.
This book provides a self-contained account of periodic models for seasonally observed economic time series with stochastic trends. Two key concepts are periodic integration and periodic cointegration. Periodic integration implies that a seasonally varying differencing filter is required to remove a stochastic trend. Periodic cointegration amounts to allowing cointegration paort-term adjustment parameters to vary with the season. The emphasis is on useful econrameters and shometric models that explicitly describe seasonal variation and can reasonably be interpreted in terms of economic behaviour. The analysis considers econometric theory, Monte Carlo simulation, and forecasting, and it is illustrated with numerous empirical time series. A key feature of the proposed models is that changing seasonal fluctuations depend on the trend and business cycle fluctuations. In the case of such dependence, it is shown that seasonal adjustment leads to inappropriate results.

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Autor: Philip Hans Franses
ISBN-13:: 9780198774549
ISBN: 0198774540
Erscheinungsjahr: 01.08.1996
Verlag: OXFORD UNIV PR
Gewicht: 345g
Seiten: 248
Sprache: Englisch
Auflage New
Sonstiges: Taschenbuch, 234x156x13 mm