Periodicity and Stochastic Trends in Economic Time Series
$110.38
- Paperback
242 pages
- Release Date
15 August 1996
Summary
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 part-term adjustment parameters to vary with the season. The emphasis is on econometric modelsthat explicitly describe se…
Book Details
| ISBN-13: | 9780198774549 |
|---|---|
| ISBN-10: | 0198774540 |
| Series: | Advanced Texts in Econometrics |
| Author: | Franses |
| Publisher: | Oxford University Press |
| Imprint: | Oxford University Press |
| Format: | Paperback |
| Number of Pages: | 242 |
| Release Date: | 15 August 1996 |
| Weight: | 372g |
| Dimensions: | 232mm x 156mm x 14mm |
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What They're Saying
Critics Review
The book can be recommended to those who want a comprehensive introduction to modern analysis of seasonality or who want to give a post-graduate course on the subject.'Marten Lof, International Journal of Forecasting, 15, (1999).Franses’ book takes the reader the whole way from fundamentals of time series analysis to the latest achievements, where the young author’s own contribution is impressive … The book gives many practical state of the art tricks and hints that an applied researcher will appreciate.‘Marten Lof, International Journal of Forecasting, 15, (1999).
About The Author
Franses
PHILIP HANS FRANSES is Professor of Applied Econometrics and Professor of Marketing Research at Erasmus University, Rotterdam.
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