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Periodicity and Stochastic Trends in Economic Time Series
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Focusing on periodic integration and cointegration, this book explores models for economic time series affected by seasonal variations and stochastic trends. It highlights the necessity of a seasonally varying differencing filter to address trends and allows for seasonal variation in cointegration parameters. The text emphasizes practical econometric models that reflect economic behavior and includes a thorough analysis of econometric theory, Monte Carlo simulations, and forecasting, supported by empirical examples. It reveals how seasonal adjustments can yield misleading results when seasonal fluctuations are influenced by underlying trends and business cycles.
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Periodicity and Stochastic Trends in Economic Time Series, Philip Hans Franses
- Language
- Released
- 1996
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- Title
- Periodicity and Stochastic Trends in Economic Time Series
- Language
- English
- Authors
- Philip Hans Franses
- Publisher
- OUP Oxford
- Released
- 1996
- Format
- Paperback
- Pages
- 244
- ISBN13
- 9780198774549
- Category
- Business and Economics
- Description
- Focusing on periodic integration and cointegration, this book explores models for economic time series affected by seasonal variations and stochastic trends. It highlights the necessity of a seasonally varying differencing filter to address trends and allows for seasonal variation in cointegration parameters. The text emphasizes practical econometric models that reflect economic behavior and includes a thorough analysis of econometric theory, Monte Carlo simulations, and forecasting, supported by empirical examples. It reveals how seasonal adjustments can yield misleading results when seasonal fluctuations are influenced by underlying trends and business cycles.