Books > Business & Economics > Economics > Econometrics
|
Buy Now
Periodicity and Stochastic Trends in Economic Time Series (Paperback, New)
Loot Price: R1,236
Discovery Miles 12 360
You Save: R371
(23%)
|
|
Periodicity and Stochastic Trends in Economic Time Series (Paperback, New)
Series: Advanced Texts in Econometrics
Expected to ship within 12 - 17 working days
|
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 Series
Advanced 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.
General
Is the information for this product incomplete, wrong or inappropriate?
Let us know about it.
Does this product have an incorrect or missing image?
Send us a new image.
Is this product missing categories?
Add more categories.
Review This Product
No reviews yet - be the first to create one!
|
|
Email address subscribed successfully.
A activation email has been sent to you.
Please click the link in that email to activate your subscription.