The Econometric Analysis of Seasonal Time Series

The treatment offers a thorough review of developments in econometric analysis of seasonal time series.

List of contents

1. Introduction to seasonal processes; 2. Deterministic seasonality; 3. Seasonal unit root processes; 4. Seasonal adjustment programs; 5. Estimation and hypothesis testing with filtered data; 6. Periodic processes; 7. Some nonlinear seasonal models; 8. Epilogue.

Summary

Economic and financial time series feature important seasonal fluctuations. Despite their regular and predictable patterns over the year, month or week, they pose many challenges to economists and econometricians. This book provides a thorough review of the recent developments in the econometric analysis of seasonal time series.

Product details

• Authors: Eric Ghysels, Denise R. Osborn, Thomas J. Sargent
• Publisher: Cambridge University Press
• Languages: English
• Product format: Hardback
• Released: 03.08.2010
• EAN: 9780521562607
• ISBN: 978-0-521-56260-7
• No. of pages: 252
• Dimensions: 157 mm x 235 mm x 19 mm
• Weight: 565 g
• Series: Themes in Modern Econometrics
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics; Social sciences, law, business > Business > Economics