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Periodicity and stochastic trends in economic time series / Philip Hans Franses.

By: Material type: TextTextSeries: Advanced texts in econometricsPublication details: Oxford : Oxford University Press, 2003.Description: xii, 230 pages ; 24 cmISBN:
  • 9780198774549 (alk. paper)
Subject(s): DDC classification:
  • 330.015195 23 F835
Contents:
1. Introduction -- 2. Concepts in time series analysis -- 3. An introduction to seasonal time series -- 4. Seasonal adjustment -- 5. Seasonal integration and cointegration -- 6. Are seasons, trends, and cycles always independent? -- 7. Periodic autoregressive time series models -- 8. Periodic integration -- 9. Periodic cointegration -- 10. Conclusion.
Summary: This text provides a self-contained account of periodic models for seasonally observed economic time series with stochastic trends. The analysis considers econometric theory, Monte Carlo simulation and forecasting, and it is illuminated with empirical time series.
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books ISI Library, Kolkata 330.015195 F835 (Browse shelf(Opens below)) Available 137903
Total holds: 0

Includes bibliographical references and indexes.

1. Introduction --
2. Concepts in time series analysis --
3. An introduction to seasonal time series --
4. Seasonal adjustment --
5. Seasonal integration and cointegration --
6. Are seasons, trends, and cycles always independent? --
7. Periodic autoregressive time series models --
8. Periodic integration --
9. Periodic cointegration --
10. Conclusion.

This text provides a self-contained account of periodic models for seasonally observed economic time series with stochastic trends. The analysis considers econometric theory, Monte Carlo simulation and forecasting, and it is illuminated with empirical time series.

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