The Econometric Analysis of Seasonal Time Series

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.

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, Ghysels Eric, Denise R. Osborn, Osborn Denise R., Thomas J. Sargent
• Publisher: Cambridge Academic
• Languages: English
• Product format: Hardback
• Released: 18.06.2001
• EAN: 9780521562607
• ISBN: 978-0-521-56260-7
• Dimensions: 152 mm x 229 mm x 18 mm
• Weight: 540 g
• Illustrations: 15 b/w illus. 2 tables, Zeichnungen, nicht spezifiziert, Tabellen, nicht spezifiziert
• Series: Themes in Modern Econometrics; Themes in Modern Econometrics
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics; Social sciences, law, business > Business > Economics; MATHEMATICS / Probability & Statistics / General, BUSINESS & ECONOMICS / Econometrics, Economic statistics, Probability & statistics, Probability and statistics, Econometrics and economic statistics