Periodic Time Series Models

Name: Periodic Time Series Models
Brand: Oxford University Press
SKU: 9780199242030
Price: 512.48 RON
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Autor: Philip Hans Franses, Richard Paap

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Editura: Oxford University Press

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This book considers periodic time series models for seasonal data, characterized by parameters that...

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Autor

Philip Hans Franses, Richard Paap

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

2004

Pagini

164

EAN

9780199242030

ISBN

0199242038

Enbook ID

04529925

Editura

Oxford University Press

Greutate

248

Dimensiuni

156 x 234 x 9

Descriere completă

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 periodic autoregressive 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 practitioners looking for an understanding of how to approach seasonal data.

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