The Econometric Analysis of Seasonal Time Series (Themes in Modern Econometrics)

Ghysels, Eric/ Osborn, Denise R.

Cambridge University Press（2001/06発売）

• 製本 Paperback:紙装版/ペーパーバック版／ページ数 252 p.
• 言語 ENG
• 商品コード 9780521565882
• DDC分類 330.015195

Full Description

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.

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.