Periodicity and Stochastic Trends in Economic Time Series

Erscheinungsjahr 1996
ISBN: 978-0-19-877454-9
Verlag: OUP Oxford

Buch, Englisch, 242 Seiten, Print PDF, Format (B × H): 156 mm x 234 mm, Gewicht: 377 g

This book provides a self-contained account of periodic models for seasonally observed economic time series with stochastic trends. Two key concepts are periodic integration and periodic cointegration. Periodic integration implies that a seasonally varying differencing filter is required to remove a stochastic trend. Periodic cointegration amounts to allowing cointegration part-term adjustment parameters to vary with the season. The emphasis is on econometric models that explicitly describe seasonal variation and can reasonably be interpreted in terms of economic behaviour. The analysis considers econometric theory, Monte Carlo simulation, and forecasting, and it is illustrated with numerous empirical time series. A key feature of the proposed models is that changing seasonal fluctuations depend on the trend and business cycle fluctuations. In the case of such dependence, it is shown that seasonal adjustment leads to inappropriate results.

Autoren/Hrsg.

Franses, Philip Hans

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Mathematik | Informatik Mathematik Stochastik Elementare Stochastik
• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse

Inhaltsverzeichnis

- Introduction

- 1: Concepts in Time Series Analysis

- 2: An introduction to seasonal time series

- 3: Seasonal adjustment

- 4: Seasonal integration and cointegration

- 5: Are seasons, trends, and cycles always independent?

- 6: Periodic autoregressive time series models

- 7: Periodic integration

- 8: Periodic cointegration

- 9: Conclusion

- Data Appendix