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The Econometric Analysis of Seasonal Time Series

Hardback

Main Details

Title The Econometric Analysis of Seasonal Time Series
Authors and Contributors      By (author) Eric Ghysels
By (author) Denise R. Osborn
SeriesThemes in Modern Econometrics
Physical Properties
Format:Hardback
Pages:252
Dimensions(mm): Height 229,Width 152
Category/GenreProbability and statistics
ISBN/Barcode 9780521562607
ClassificationsDewey:330.015195
Audience
Professional & Vocational
Illustrations 2 Tables, unspecified; 15 Line drawings, unspecified

Publishing Details

Publisher Cambridge University Press
Imprint Cambridge University Press
Publication Date 18 June 2001
Publication Country United Kingdom

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.

Reviews

"The authors have presented a coherent account of the current state of the econometric theory for analyzing seasonal time series processes." Mathematical Reviews