Periodicity and stochastic trends in economic time series / Philip Hans Franses.
Material type:
TextSeries: Advanced texts in econometricsPublication details: Oxford : Oxford University Press, 2003.Description: xii, 230 pages ; 24 cmISBN: - 9780198774549 (alk. paper)
- 330.015195 23 F835
| Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
|---|---|---|---|---|---|---|---|
| Books | ISI Library, Kolkata | 330.015195 F835 (Browse shelf(Opens below)) | Available | 137903 |
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| 330.015195 F273 Applied macroeconometrics | 330.015195 F632 Econometric modeling and inference | 330.015195 F835 Periodic time series models / | 330.015195 F835 Periodicity and stochastic trends in economic time series / | 330.015195 G396 Complete and incomplete econometric models | 330.015195 G583 Bootstrap tests for regression models | 330.015195 G715 Financial econometrics |
Includes bibliographical references and indexes.
1. Introduction --
2. Concepts in time series analysis --
3. An introduction to seasonal time series --
4. Seasonal adjustment --
5. Seasonal integration and cointegration --
6. Are seasons, trends, and cycles always independent? --
7. Periodic autoregressive time series models --
8. Periodic integration --
9. Periodic cointegration --
10. Conclusion.
This text provides a self-contained account of periodic models for seasonally observed economic time series with stochastic trends. The analysis considers econometric theory, Monte Carlo simulation and forecasting, and it is illuminated with empirical time series.
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