Research Catalog

The econometric analysis of seasonal time series

Title: The econometric analysis of seasonal time series / Eric Ghysels, Denise R. Osborn.
Author: Ghysels, Eric, 1956-
Publication: New York : Cambridge University Press, 2001.

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Status	Format	Access	Call Number	Item Location
Request for On-site Use Request Scan How do I pick up this item and when will it be ready?	Text	Request in advance	HB139 .G49 2001	Off-site

Additional Authors

Osborn, Denise R.

Description

xxi, 228 pages : illustrations; 24 cm.

Summary

"In this book, 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 stationary and 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."--BOOK JACKET.

Series Statement

Themes in modern econometrics

Uniform Title

Themes in modern econometrics.

Subjects

Bibliography (note)

Contents

Foreword / Thomas J. Sargent -- 1. Introduction to Seasonal Processes. Some Illustrative Seasonal Economic Time Series. Seasonality in the Mean. Periodic Processes. Seasonality in Higher Moments -- 2. Deterministic Seasonality. Representations of Deterministic Seasonality. Stochastic and Deterministic Seasonality. Testing Deterministic Seasonality -- 3. Seasonal Unit Root Processes. Properties of Seasonal Unit Root Processes. Testing Seasonal Integration. Extensions. Monte Carlo Studies. Seasonal Cointegration between Variables. Some Remarks on Empirical Results -- 4. Seasonal Adjustment Programs. Decompositions. The X-11 Program. The X-12 Seasonal Adjustment Program. The TRAMO/SEATS Programs. Seasonal Adjustment and Other Data Transformations -- 5. Estimation and Hypothesis Testing with Unfiltered and Filtered Data. Linear Regression with Misspecified Seasonal Nonstationarity. The Classical Linear Regression Model an Filtering. Filtering of ARIMA Models.
Finite Sample Approximations of Filtering Effects. Filtering and Cointegration. Bias Trade-Offs and Approximation Errors -- 6. Periodic Processes. Some Simple Periodic Processes. Representations and Properties of Periodic Processes. Nonstationary Univariate PAR Processes. Periodic Cointegration. Some Comments on Empirical and Monte Carlo Analyses -- 7. Some Nonlinear Seasonal Models. Stochastic Seasonal Unit Roots. Seasonal ARCH Models. Periodic GARCH Models. Periodic Markov Switching Models.

ISBN

LCCN

00063070

OCLC

Owning Institutions

Columbia University Libraries