The Econometric Analysis of Seasonal Time Series (Themes in Modern Econometrics)

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9780521562607: The Econometric Analysis of Seasonal Time Series (Themes in Modern Econometrics)

Economic and financial time series feature important seasonal fluctuations. Despite their regular and predictable patterns over the year, month or week, they pose many challenges to economists and econometricians. This book provides a thorough review of the recent developments in the econometric analysis of seasonal time series. It is designed for an audience of specialists in economic time series analysis and advanced graduate students. It is the most comprehensive and balanced treatment of the subject since the mid-1980s.

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"The authors have presented a coherent account of the current state of the econometric theory for analyzing seasonal time series processes." Mathematical Reviews

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Book Description CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2010. Hardback. Book Condition: New. New. Language: English . Brand New Book ***** Print on Demand *****. 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. Bookseller Inventory # APC9780521562607

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Book Description CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2010. Hardback. Book Condition: New. New. Language: English . Brand New Book ***** Print on Demand *****.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. Bookseller Inventory # APC9780521562607

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