The Econometric Analysis of Seasonal Time Series

The Econometric Analysis of Seasonal Time Series

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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.show more

Product details

  • Online resource
  • Cambridge University Press (Virtual Publishing)
  • Cambridge, United Kingdom
  • English
  • 15 b/w illus. 2 tables
  • 1139164007
  • 9781139164009

Review quote

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

Table of contents

1. Introduction to seasonal processes; 2. Deterministic seasonality; 3. Seasonal unit root processes; 4. Seasonal adjustment programs; 5. Estimation and hypothesis testing with filtered data; 6. Periodic processes; 7. Some nonlinear seasonal models; 8. Epilogue.show more

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