| Document Type
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BL
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| Record Number
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973026
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| Doc. No
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b727396
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| Main Entry
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Franses, Philip Hans,1963-
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| Title & Author
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Periodic time series models /\ Philip Hans Franses and Richard Paap.
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| Publication Statement
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Oxford ;New York :: Oxford University Press,, 2004.
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| Series Statement
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Advanced texts in econometrics
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| Page. NO
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1 online resource (xiv, 147 pages) :: illustrations
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| ISBN
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0191529265
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: 0191601284
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: 019924202X
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: 0199242038
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: 1429420375
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: 9780191529269
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: 9780191601286
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: 9780199242023
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: 9780199242030
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: 9781429420372
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| Bibliographies/Indexes
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Includes bibliographical references and index.
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| Contents
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List of figures; List of tables; Notation and abbreviations; 1 Introduction; 1.1 Preliminaries; 1.2 Readership; 1.3 Why periodic models?; 1.4 Outline of this book; 2 Properties of seasonal time series; 2.1 Graphs and basic regressions; 2.2 Typical features of seasonal time series; 2.3 Summary and outlook; 3 Univariate periodic time series models; 3.1 Representation; 3.2 Stationarity in periodic autoregressions; 3.3 Model selection and parameter estimation; 3.4 Forecasting; 3.5 Effects of neglecting periodicity; 3.6 Periodic conditional heteroskedasticity; 3.7 Discussion
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4 Periodic models for trending data4.1 Representation of unit roots; 4.2 Intercepts and deterministic trends; 4.3 Testing for unit roots; 4.4 Forecasting trending time series; 4.5 Effects of neglecting periodicity; 4.6 Conclusion; 4.A EViews code; 5 Multivariate periodic time series models; 5.1 Notation and representation; 5.2 Useful representations in practice; 5.3 Cointegration testing-single-equation approach; 5.4 Cointegration testing-full-system approach; 5.5 Discussion; Appendix A: Critical values of the Dickey and Fuller statistics
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Appendix B: Critical values of the Johansen trace statisticsAppendix C: Critical values of the Boswijk and Franses statistic; References; Author index; A; B; C; D; E; F; G; H; I; J; K; L; M; N; O; P; R; S; T; V; W; Y; Subject index; A; C; D; E; F; G; H; I; J; M; N; P; R; S; T; U; V; W
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| Abstract
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In this insightful, modern study of the use of periodic models in the description and forecasting of economic data the authors investigate such areas as seasonal time series, periodic time series models, periodic integration and periodic cointegration.
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| Subject
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Econometric models.
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| Subject
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Time-series analysis.
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| Subject
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Modèles économétriques.
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| Subject
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Série chronologique.
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| Subject
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BUSINESS ECONOMICS-- Econometrics.
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| Subject
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BUSINESS ECONOMICS-- Statistics.
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| Subject
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Econometric models.
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| Subject
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Time-series analysis.
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| Subject
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Tijdreeksen.
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| Dewey Classification
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330.015195
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| LC Classification
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HB141.F72 2004eb
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| Added Entry
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Paap, Richard.
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