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The Econometric Analysis of Seasonal Time Series

The Econometric Analysis of Seasonal Time Series

£32.99

Part of Themes in Modern Econometrics

  • Date Published: September 2001
  • availability: Available
  • format: Paperback
  • isbn: 9780521565882

£ 32.99
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About the Authors
  • 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.

    • Most rigorous and broad survey analysis available on role of seasonality in economics, finance
    • Can be used as supplementary graduate text in courses in econometrics, statistics, finance
    • Authors well-known for their work on this subject; should trump the competition
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    Product details

    • Date Published: September 2001
    • format: Paperback
    • isbn: 9780521565882
    • length: 252 pages
    • dimensions: 229 x 152 x 14 mm
    • weight: 0.38kg
    • contains: 15 b/w illus. 2 tables
    • availability: Available
  • Table of Contents

    1. Introduction to seasonal processes
    2. Deterministic seasonality
    3. Seasonal unit root processes
    4. Seasonal adjustment programs
    5. Estimation and hypothesis testing with filtered data
    6. Periodic processes
    7. Some nonlinear seasonal models
    8. Epilogue.

  • Authors

    Eric Ghysels, University of North Carolina, Chapel Hill

    Denise R. Osborn, University of Manchester

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