The Econometric Analysis of Seasonal Time Series
The Econometric Analysis of Seasonal Time Series
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Résumé
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.
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The Econometric Analysis of Seasonal Time Series by Eric Ghysels
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.
"The authors have presented a coherent account of the current state of the econometric theory for analyzing seasonal time series processes" Mathematical Reviews
| SKU | Non disponible |
| ISBN 13 | 9780521562607 |
| ISBN 10 | 0521562600 |
| Titre | The Econometric Analysis of Seasonal Time Series |
| Auteur | Eric Ghysels |
| Série | Themes In Modern Econometrics |
| État | Non disponible |
| Éditeur | Cambridge University Press |
| Année de publication | 2001-06-18 |
| Nombre de pages | 252 |
| Note de couverture | La photo du livre est présentée à titre d'illustration uniquement. La reliure, la couverture ou l'édition réelle peuvent varier. |
| Note | Non disponible |