TY  - BOOK
AU  - Franses,Philip Hans
AU  - Paap,Richard
TI  - Periodic time series models
T2  - Advanced texts in econometrics
SN  - 9780199242030
U1  - 330.015195 23
PY  - 2004///
CY  - Oxford
PB  - Oxford University Press
KW  - Econometric models
KW  - Time-series analysis
N1  - Includes bibliographical references and index; 1. Introduction --
 2. Properties of seasonal time series --
 3. Univariate periodic time series models --
 4. Periodic models for trending data --
 5. Multivariate periodic time series models --
 App. A. Critical values of the Dickey and Fuller statistics --
 App. B. Critical values of the Johansen trace statistics --
 App. C. Critical values of the Boswijk and Franses statistic
N2  - 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.

ER  -