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Periodic time series models / Philip Hans Franses and Richard Paap.

By: Contributor(s): Material type: TextTextSeries: Advanced texts in econometricsPublication details: Oxford ; Oxford University Press, 2004.Description: xiv, 147 p. : ill. ; 24 cmISBN:
  • 9780199242030
Subject(s): DDC classification:
  • 330.015195 23 F835
Contents:
1. Introduction -- 2. Properties of seasonal time series -- 3. Univariate periodic time series models -- 4. Periodic models for trending data -- 5. Multivariate periodic time series models -- App. A. Critical values of the Dickey and Fuller statistics -- App. B. Critical values of the Johansen trace statistics -- App. C. Critical values of the Boswijk and Franses statistic.
Summary: This book considers periodic time series models for seasonal data, characterized by parameters that differ across the seasons, and focuses on their usefulness for out-of-sample forecasting. Providing an up-to-date survey of the recent developments in periodic time series, the book presents a large number of empirical results.
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books ISI Library, Kolkata 330.015195 F835 (Browse shelf(Opens below)) Available 137212
Total holds: 0

Includes bibliographical references and index.

1. Introduction --
2. Properties of seasonal time series --
3. Univariate periodic time series models --
4. Periodic models for trending data --
5. Multivariate periodic time series models --
App. A. Critical values of the Dickey and Fuller statistics --
App. B. Critical values of the Johansen trace statistics --
App. C. Critical values of the Boswijk and Franses statistic.

This book considers periodic time series models for seasonal data, characterized by parameters that differ across the seasons, and focuses on their usefulness for out-of-sample forecasting. Providing an up-to-date survey of the recent developments in periodic time series, the book presents a large number of empirical results.

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