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Book Categories |
Foreword | ||
Preface | ||
List of Symbols an Notations | ||
1 | Introduction to Seasonal Processes | 1 |
Some Illustrative Seasonal Economic Time Series | 1 | |
Seasonality in the Mean | 4 | |
Periodic Processes | 12 | |
Seasonality in Higher Moments | 15 | |
2 | Deterministic Seasonality | 19 |
Representations of Deterministic Seasonality | 20 | |
Stochastic and Deterministic Seasonality | 24 | |
Testing Deterministic Seasonality | 30 | |
3 | Seasonal Unit Root Processes | 42 |
Properties of Seasonal Unit Root Processes | 43 | |
Testing Seasonal Integration | 52 | |
Extensions | 70 | |
Monte Carlo Studies | 76 | |
Seasonal Cointegration between Variables | 80 | |
Some Remarks on Empirical Results | 90 | |
4 | Seasonal Adjustment Programs | 93 |
Decompositions | 93 | |
The X-11 Program | 95 | |
The X-12 Seasonal Adjustment Program | 106 | |
The TRAMO/SEATS Programs | 108 | |
Seasonal Adjustment and Other Data Transformations | 115 | |
5 | Estimation and Hypothesis Testing with Unfiltered and Filtered Data | 121 |
Linear Regression with Misspecified Seasonal Nonstationarity | 122 | |
The Classical Linear Regression Model an Filtering | 124 | |
Filtering of ARIMA Models | 126 | |
Finite Sample Approximations of Filtering Effects | 131 | |
Filtering and Cointegration | 134 | |
Bias Trade-Offs and Approximation Errors | 136 | |
6 | Periodic Processes | 139 |
Some Simple Periodic Processes | 140 | |
Representations and Properties of Periodic Processes | 144 | |
Nonstationary Univariate PAR Processes | 152 | |
Periodic Cointegration | 168 | |
Some Comments on Empirical and Monte Carlo Analyses | 180 | |
7 | Some Nonlinear Seasonal Models | 182 |
Stochastic Seasonal Unit Roots | 183 | |
Seasonal ARCH Models | 185 | |
Periodic GARCH Models | 194 | |
Periodic Markov Switching Models | 198 | |
Epilogue | 203 | |
Bibliography | 207 | |
Subject Index | 223 | |
Author Index | 225 |
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