Periodicity and stochastic trends in economic time series

著者

書誌事項

Periodicity and stochastic trends in economic time series

Philip Hans Franses

（Advanced texts in econometrics）

Oxford University Press, c1996

  • : pbk

大学図書館所蔵 件 / 全55件

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注記

Includes bibliographical references (p. [215]-224) and indexes

内容説明・目次

巻冊次

ISBN 9780198774532

内容説明

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. The 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.

目次

Introduction. 1: Concepts in Time Series Analysis. 2: An introduction to seasonal time series. 3: Seasonal adjustment. 4: Seasonal integration and cointegration. 5: Are seasons, trends, and cycles always independent?. 6: Periodic autoregressive time series models. 7: Periodic integration. 8: Periodic cointegration. 9: Conclusion. Data Appendix
巻冊次

: pbk ISBN 9780198774549

内容説明

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. Period cointegration amounts to allowing cointegration part-term adjustment parameters to vary with the season. The emphasis is on econometric 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.

目次

  • 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.

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