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Author: Philip Hans Franses Publisher: Oxford University Press, USA ISBN: Category : Business & Economics Languages : en Pages : 256
Book Description
This book provides a self-contained account of periodic models for seasonally observed economic time series with stochastic trends. Two key concepts are periodic integration and periodic cointegration. Periodic integration implies that a seasonally varying differencing filter is required to remove a stochastic trend. Periodic cointegration amounts to allowing cointegration paort-term adjustment parameters to vary with the season. The emphasis is on useful econrameters and shometric models that explicitly describe seasonal variation and can reasonably be interpreted in terms of economic behaviour. The analysis considers econometric theory, Monte Carlo simulation, and forecasting, and it is illustrated with numerous empirical time series. A key feature of the proposed models is that changing seasonal fluctuations depend on the trend and business cycle fluctuations. In the case of such dependence, it is shown that seasonal adjustment leads to inappropriate results.
Author: Philip Hans Franses Publisher: Oxford University Press, USA ISBN: Category : Business & Economics Languages : en Pages : 256
Book Description
This book provides a self-contained account of periodic models for seasonally observed economic time series with stochastic trends. Two key concepts are periodic integration and periodic cointegration. Periodic integration implies that a seasonally varying differencing filter is required to remove a stochastic trend. Periodic cointegration amounts to allowing cointegration paort-term adjustment parameters to vary with the season. The emphasis is on useful econrameters and shometric models that explicitly describe seasonal variation and can reasonably be interpreted in terms of economic behaviour. The analysis considers econometric theory, Monte Carlo simulation, and forecasting, and it is illustrated with numerous empirical time series. A key feature of the proposed models is that changing seasonal fluctuations depend on the trend and business cycle fluctuations. In the case of such dependence, it is shown that seasonal adjustment leads to inappropriate results.
Author: Philip Hans Franses Publisher: ISBN: 9781383033144 Category : Cycles Languages : en Pages : 0
Book Description
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.
Author: Philip Hans Franses Publisher: OUP Oxford ISBN: 0191529265 Category : Business & Economics Languages : en Pages : 166
Book Description
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.
Author: Terence C. Mills Publisher: Springer Nature ISBN: 3030763595 Category : Business & Economics Languages : en Pages : 219
Book Description
Modelling trends and cycles in economic time series has a long history, with the use of linear trends and moving averages forming the basic tool kit of economists until the 1970s. Several developments in econometrics then led to an overhaul of the techniques used to extract trends and cycles from time series. In this second edition, Terence Mills expands on the research in the area of trends and cycles over the last (almost) two decades, to highlight to students and researchers the variety of techniques and the considerations that underpin their choice for modelling trends and cycles.
Author: Philip Hans Franses Publisher: ISBN: 9780191601286 Category : Econometric models Languages : en Pages : 147
Book Description
In this insightful, modern study of the use of periodic models in the description and forecasting of economic data the authors investigate such areas as seasonal time series, periodic time series models, periodic integration and periodic cointegration.
Author: William R. Bell Publisher: CRC Press ISBN: 1439846588 Category : Mathematics Languages : en Pages : 544
Book Description
Economic Time Series: Modeling and Seasonality is a focused resource on analysis of economic time series as pertains to modeling and seasonality, presenting cutting-edge research that would otherwise be scattered throughout diverse peer-reviewed journals. This compilation of 21 chapters showcases the cross-fertilization between the fields of time s
Author: Clive William John Granger Publisher: ISBN: Category : Business & Economics Languages : en Pages : 428
Book Description
This book has been updated to reflect developments in time series analysis and forecasting theory and practice, particularly as applied to economics. The second edition pays attention to such problems as how to evaluate and compare forecasts.
Author: C. W. J. Granger Publisher: Academic Press ISBN: 1483273245 Category : Business & Economics Languages : en Pages : 353
Book Description
Economic Theory, Econometrics, and Mathematical Economics, Second Edition: Forecasting Economic Time Series presents the developments in time series analysis and forecasting theory and practice. This book discusses the application of time series procedures in mainstream economic theory and econometric model building. Organized into 10 chapters, this edition begins with an overview of the problem of dealing with time series possessing a deterministic seasonal component. This text then provides a description of time series in terms of models known as the time-domain approach. Other chapters consider an alternative approach, known as spectral or frequency-domain analysis, that often provides useful insights into the properties of a series. This book discusses as well a unified approach to the fitting of linear models to a given time series. The final chapter deals with the main advantage of having a Gaussian series wherein the optimal single series, least-squares forecast will be a linear forecast. This book is a valuable resource for economists.
Author: Michael Clements Publisher: Cambridge University Press ISBN: 9780521634809 Category : Business & Economics Languages : en Pages : 402
Book Description
This book provides a formal analysis of the models, procedures, and measures of economic forecasting with a view to improving forecasting practice. David Hendry and Michael Clements base the analyses on assumptions pertinent to the economies to be forecast, viz. a non-constant, evolving economic system, and econometric models whose form and structure are unknown a priori. The authors find that conclusions which can be established formally for constant-parameter stationary processes and correctly-specified models often do not hold when unrealistic assumptions are relaxed. Despite the difficulty of proceeding formally when models are mis-specified in unknown ways for non-stationary processes that are subject to structural breaks, Hendry and Clements show that significant insights can be gleaned. For example, a formal taxonomy of forecasting errors can be developed, the role of causal information clarified, intercept corrections re-established as a method for achieving robustness against forms of structural change, and measures of forecast accuracy re-interpreted.
Author: Philip Hans Franses
Author: Philip Hans Franses
Author: Philip Hans Franses
Author: Philip Hans Franses
Author: Philip Hans Franses
Author: Terence C. Mills
Author: Philip Hans Franses
Author: William R. Bell
Author: Clive William John Granger
Author: C. W. J. Granger
Author: Michael Clements