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The Econometric Analysis of Seasonal Time Series Book

The Econometric Analysis of Seasonal Time Series
The Econometric Analysis of Seasonal Time Series, , The Econometric Analysis of Seasonal Time Series has a rating of 1.5 stars
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The Econometric Analysis of Seasonal Time Series, , The Econometric Analysis of Seasonal Time Series
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  • The Econometric Analysis of Seasonal Time Series
  • Written by author Eric Ghysels
  • Published by Cambridge University Press, June 2001
  • The treatment offers a thorough review of developments in econometric analysis of seasonal time series.
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Book Categories

Authors

Foreword
Preface
List of Symbols an Notations
1Introduction to Seasonal Processes1
Some Illustrative Seasonal Economic Time Series1
Seasonality in the Mean4
Periodic Processes12
Seasonality in Higher Moments15
2Deterministic Seasonality19
Representations of Deterministic Seasonality20
Stochastic and Deterministic Seasonality24
Testing Deterministic Seasonality30
3Seasonal Unit Root Processes42
Properties of Seasonal Unit Root Processes43
Testing Seasonal Integration52
Extensions70
Monte Carlo Studies76
Seasonal Cointegration between Variables80
Some Remarks on Empirical Results90
4Seasonal Adjustment Programs93
Decompositions93
The X-11 Program95
The X-12 Seasonal Adjustment Program106
The TRAMO/SEATS Programs108
Seasonal Adjustment and Other Data Transformations115
5Estimation and Hypothesis Testing with Unfiltered and Filtered Data121
Linear Regression with Misspecified Seasonal Nonstationarity122
The Classical Linear Regression Model an Filtering124
Filtering of ARIMA Models126
Finite Sample Approximations of Filtering Effects131
Filtering and Cointegration134
Bias Trade-Offs and Approximation Errors136
6Periodic Processes139
Some Simple Periodic Processes140
Representations and Properties of Periodic Processes144
Nonstationary Univariate PAR Processes152
Periodic Cointegration168
Some Comments on Empirical and Monte Carlo Analyses180
7Some Nonlinear Seasonal Models182
Stochastic Seasonal Unit Roots183
Seasonal ARCH Models185
Periodic GARCH Models194
Periodic Markov Switching Models198
Epilogue203
Bibliography207
Subject Index223
Author Index225


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