Name: Periodicity and Stochastic Trends in Economic Time Series (Advanced Texts in Econometrics) (en Inglés)
Price: 128600.00 CLP
Availability: InStock
Author: Philip Hans Franses
ISBN: 9780198774549

portada Periodicity and Stochastic Trends in Economic Time Series (Advanced Texts in Econometrics) (en Inglés)

Formato

Libro Físico

Editorial

Oup Oxford

Autor

Philip Hans Franses

Año

1996

Idioma

Inglés

N° páginas

242

Encuadernación

Tapa Blanda

ISBN

0198774540

ISBN13

9780198774549

N° edición

Categorías

Econometría

Periodicity and Stochastic Trends in Economic Time Series (Advanced Texts in Econometrics) (en Inglés)

Philip Hans Franses (Autor) · Oup Oxford · Tapa Blanda

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Reseña del libro "Periodicity and Stochastic Trends in Economic Time Series (Advanced Texts in Econometrics) (en Inglés)"

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 paort-term adjustment parameters to vary with the season. The emphasis is on useful econrameters and shometric 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. About the SeriesAdvanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.