9780521562607

The Econometric Analysis of Seasonal Time Series

by
  • ISBN13:

    9780521562607

  • ISBN10:

    0521562600

  • Format: Hardcover
  • Copyright: 2001-06-18
  • Publisher: Cambridge University Press
  • Purchase Benefits
  • Free Shipping On Orders Over $35!
    Your order must be $35 or more to qualify for free economy shipping. Bulk sales, PO's, Marketplace items, eBooks and apparel do not qualify for this offer.
  • Get Rewarded for Ordering Your Textbooks! Enroll Now
List Price: $135.00 Save up to $4.05
  • Buy New
    $130.95
    Add to Cart Free Shipping

    SPECIAL ORDER: 1-2 WEEKS

Supplemental Materials

What is included with this book?

  • The New copy of this book will include any supplemental materials advertised. Please check the title of the book to determine if it should include any access cards, study guides, lab manuals, CDs, etc.

Summary

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.

Table of Contents

Foreword xiii
Thomas J. Sargent
Preface xv
List of Symbols and Notations
xix
Introduction to Seasonal Processes
1(18)
Some Illustrative Seasonal Economic Time Series
1(3)
Seasonality in the Mean
4(8)
Deterministic Seasonality
4(3)
Linear Stationary Seasonal Processes
7(3)
Nonstationary Unit Root Processes
10(2)
Unobserved Component Models
12(1)
Periodic Processes
12(3)
Seasonality in Higher Moments
15(4)
Stochastic Seasonal Unit Roots
16(1)
Seasonal GARCH
16(1)
Periodic GARCH
17(2)
Deterministic Seasonality
19(23)
Introduction
19(1)
Representations of Deterministic Seasonality
20(4)
The Dummy Variable Representation
20(1)
The Trigonometric Representation
21(3)
Stochastic and Deterministic Seasonality
24(6)
Stochastic Seasonal Processes
24(2)
The Seasonal Random Walk
26(2)
Deterministic Seasonality versus Seasonal Unit Roots
28(1)
Unobserved Components Approaches
29(1)
Testing Deterministic Seasonality
30(12)
The Canova-Hansen Test
31(5)
The Caner Test
36(1)
The Tam-Reinsel Test
37(2)
Some Comments
39(3)
Seasonal Unit Root Processes
42(51)
Introduction
42(1)
Properties of Seasonal Unit Root Processes
43(9)
The Seasonal Random Walk with Constant Drift
43(2)
The Seasonal Random Walk with Seasonally Varying Drift
45(1)
More General Stochastic Processes
45(2)
Transformations and Seasonal Unit Roots
47(3)
Asymptotic Distributions
50(2)
Testing Seasonal Integration
52(18)
Dickey-Hasza-Fuller Test
52(2)
Testing a Unit Root of -- 1
54(2)
Testing Complex Unit Roots
56(4)
HEGY Test
60(4)
The Kunst Test
64(2)
The Osborn-Chui-Smith-Birchenhall Test
66(2)
Multiple Tests and Levels of Significance
68(2)
Extensions
70(6)
Additional Dynamics
70(1)
Deterministic Components
71(1)
Structural Change in the Deterministic Components
72(2)
Near Seasonal Integration
74(1)
Higher Order Nonstationarity
75(1)
Monte Carlo Studies
76(4)
Comparisons of Test Procedures
77(2)
Augmentation, Prewhitening, and Structural Breaks
79(1)
Seasonal Cointegration between Variables
80(10)
A Single Equation Approach
81(3)
The Vector Approach
84(4)
Seasonal Intercepts and Seasonal Cointegration
88(2)
Some Remarks on Empirical Results
90(3)
Seasonal Adjustment Programs
93(28)
Introduction
93(1)
Decompositions
93(2)
The X-11 Program
95(11)
The Linear X-11 Filter
95(5)
On Potential Sources of Nonlinearity
100(6)
The X-12 Seasonal Adjustment Program
106(2)
RegARIMA Modeling in X-12-ARIMA
107(1)
X-12 Diagnostics
108(1)
The TRAMO/SEATS Programs
108(7)
Unobserved Component ARIMA Models and Seasonal Adjustment
109(3)
Model-Based Approach versus X-12
112(3)
Seasonal Adjustment and Other Data Transformations
115(6)
Estimation and Hypothesis Testing with Unfiltered and Filtered Data
121(18)
Introduction
121(1)
Linear Regression with Misspecified Seasonal Nonstationarity
122(2)
The Classical Linear Regression Model and Filtering
124(2)
Filtering of ARIMA Models
126(5)
Filtering of Unit Root Processes
128(1)
Filtering Stationary ARMA Processes
129(2)
Finite Sample Approximations of Filtering Effects
131(3)
Filtering and Cointegration
134(2)
Bias Trade-Offs and Approximation Errors
136(3)
Periodic Processes
139(43)
Introduction
139(1)
Some Simple Periodic Processes
140(4)
Periodic Heteroskedasticity
141(1)
Periodic MA(1) Process
142(1)
Periodic AR(1) Process
143(1)
Representations and Properties of Periodic Processes
144(8)
The VAR Representation
144(2)
Properties of Stationary PAR Processes
146(2)
The Constant Parameter Representation of a PAR Process
148(4)
Nonstationary Univariate PAR Processes
152(16)
Types of Integration in a PAR Process
153(2)
The Role of Intercept and Trend Terms
155(2)
Testing for Seasonal Integration in a PAR Process
157(3)
Cointegration Approaches to Testing Seasonal Integration
160(4)
Testing Periodic and Nonperiodic Integration
164(2)
Extensions: Augmentation and Deterministic Components
166(2)
Periodic Cointegration
168(12)
Some Issues in Periodic Cointegration
168(3)
Vector Approaches to Periodic Cointegration
171(3)
Nonperiodic, Periodic, and Seasonal Cointegration
174(2)
The Boswijk-Franses Test for Periodic Cointegration
176(3)
Generalizations
179(1)
Some Comments on Empirical and Monte Carlo Analyses
180(2)
Some Nonlinear Seasonal Models
182(21)
Introduction
182(1)
Stochastic Seasonal Unit Roots
183(2)
Seasonal ARCH Models
185(9)
The Class of Models
185(3)
The Effects of Filtering on ARCH Models
188(6)
Periodic GARCH Models
194(4)
Periodic Markov Switching Models
198(5)
Epilogue 203(4)
Bibliography 207(16)
Subject Index 223(2)
Author Index 225

Rewards Program

Write a Review