Periodicity and stochastic trends in economic time series / Philip Hans Franses.

Format:

Book

Author/Creator:

Franses, Philip Hans, 1963-

Series:

Advanced texts in econometrics

Language:

English

Subjects (All):

Econometrics.

Time-series analysis.

Stochastic analysis.

Cycles.

Physical Description:

xii, 230 pages ; 24 cm.

Place of Publication:

Oxford [England] ; New York, NY : Oxford University Press, 1996.

Summary:

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 paort-term adjustment parameters to vary with the season. The emphasis is on useful econrameters and shometric models that 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 it is 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.

Notes:

Includes bibliographical references (pages [215]-224) and indexes.

ISBN:

0198774540

0198774532

OCLC:

34077187