Items related to Periodic Time Series Models (Advanced Texts in Econometrics)
Synopsis
An insightful and up-to-date study of the use of periodic models in the description and forecasting of economic data. Incorporating recent developments in the field, the authors investigate such areas as seasonal time series; periodic time series models; periodic integration; and periodic cointegration. The analysis from the inclusion of many new empirical examples and 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.
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About the Author
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.
"About this title" may belong to another edition of this title.
- PublisherOxford University Press
- Publication date2004
- ISBN 10 0199242038
- ISBN 13 9780199242030
- BindingPaperback
- LanguageEnglish
- Number of pages168
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Periodic Time Series Models
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Periodic Time Series Models (Advanced Texts in Econometrics)
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ISBN 13: 9780199242030
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Periodic Time Series Models (eng)
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Periodic time series models
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ISBN 10: 0199242038
ISBN 13: 9780199242030
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Periodic Time Series Models (Paperback)
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Oxford University Press, Oxford, 2004
ISBN 10: 0199242038
ISBN 13: 9780199242030
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Paperback. Condition: new. Paperback. 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 periodicautoregressive 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 practitionerslooking for an understanding of how to approach seasonal data. An insightful and up-to-date study of the use of periodic models in the description and forecasting of economic data. Incorporating recent developments in the field, the authors investigate such areas as seasonal time series; periodic time series models; periodic integration; and periodic cointegration. The analysis benefits from the inclusion of many new empirical examples and results. This item is printed on demand. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Seller Inventory # 9780199242030
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Periodic Time Series Models
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PAP. Condition: New. New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Seller Inventory # IQ-9780199242030
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Periodic Time Series Models
Published by
Oxford University Press, 2004
ISBN 10: 0199242038
ISBN 13: 9780199242030
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