Periodicity and Stochastic Trends in Economic Time Series (Paperback)
Language: English
Published by Oxford University Press, Oxford, 1996
- Softcover
- New
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AbeBooks seller since June 22, 2007
Condition: New
£ 81.16
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Paperback. 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 part-term adjustment parameters to vary with the season. The emphasis is on econometric modelsthat 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 itis 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. This is an advanced graduate textbook in econometrics. A large proportion of the data studied by econometricians are series of observations of the same variables made over time (time series). This book provides a comprehensive account of how to allow for seasonal fluctuations in these data by using periodic models. This item is printed on demand. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability.…
Seller Inventory # 9780198774549
- Title
- Periodicity and Stochastic Trends in Economic Time Series (Paperback)
- Author
- Franses
- Publisher
- Oxford University Press, Oxford
- Publication year
- 1996
- Condition
- new
- Binding
- Paperback
- Language
- English
- ISBN 10
- 0198774540
- ISBN 13
- 9780198774549
- Series
- Book 12 of 26: Advanced Texts in Econometrics
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AussieBookSeller
Truganina, VIC, Australia
AbeBooks seller since June 22, 2007
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