Periodicity and stochastic trends in economic time series
著者
書誌事項
Periodicity and stochastic trends in economic time series
（Advanced texts in econometrics）
Oxford University Press, 1996
- : pbk
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注記
Includes bibliographical references (p. [215]-224) and indexes
内容説明・目次
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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