Periodic Time Series Models (Advanced Texts in Econometrics) - Couverture souple

Franses, Philip H.

Couverture souple

ISBN 10 : 0199242038 ISBN 13 : 9780199242030

Editeur : Oxford University Press, 2001

Synopsis

This book considers periodic time series models for seasonal data, characterized by parameters that differ across the seasons, and focuses on their usefulness for out-of-sample forecasting. Providing an up-to-date survey of the recent developments in periodic time series, the book presents a large number of empirical results.

The first part of the book deals with model selection, diagnostic checking and forecasting of univariate periodic autoregressive models. Tests for periodic integration, are discussed, and an extensive discussion of the role of deterministic regressors in testing for periodic integration and in forecasting is provided.

The second part discusses multivariate periodic autoregressive models. It provides an overview of periodic cointegration models, as these are the most relevant. This overview contains single-equation type tests and a full-system approach based on generalized method of moments.

All methods are illustrated with extensive examples, and the book will be of interest to advanced graduate students and researchers in econometrics, as well as practitioners looking for an understanding of how to approach seasonal data.

A propos du livre

À propos de l?auteur

Philip Hans Franses is Professor of Applied Econometrics and Professor of Marketing Research at Erasmus University, Rotterdam. He is the author of a number of books, including Periodicity and Stochastic Trends in Economic Time Series (OUP, 1996).

Richard Paap is a Postdoctoral Researcher at the Econometric Institute in Erasmus University, Rotterdam.

Détails de l'édition

• Éditeur: Oxford University Press
• Date d'édition: 2001
• Langue: anglais
• ISBN 10: 0199242038
• ISBN 13: 9780199242030
• Reliure: Broché
• Nombre de pages: 168
• Coordonnées du fabricant: non disponible
• Personne responsable: Ufficio Anagrafiche Messaggerie; ufficio.anagrafiche@meli.it; ; Via Verdi, 8; Assago Milano; 20090; Italie