THE ECONOMETRIC ANALYSIS OF SEASONAL TIME SERIES by Eric Ghysels, Denise R. Osborn ( 9780521562607 )

Item Details

Title:

THE ECONOMETRIC ANALYSIS OF SEASONAL TIME SERIES

By:

Eric Ghysels, Denise R. Osborn

Format:

Hardback

List price:

£95.00

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£83.13

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12.5% off

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£11.87

ISBN 10:

0521562600

ISBN 13:

9780521562607

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Publisher:

CAMBRIDGE UNIVERSITY PRESS

Pub. date:

18 June, 2001

Series:

Themes in Modern Econometrics

Pages:

252

Description:

The treatment offers a thorough review of developments in econometric analysis of seasonal time series.

Synopsis:

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.

Illustrations:

15 b/w illus. 2 tables

Publication:

Imprint:

Cambridge University Press

Returns:

Returnable

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