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  3. The Econometric Analysis of Seasonal Time Series
  • Cited by 175
Publisher:
Cambridge University Press
Online publication date:
June 2012
Print publication year:
2001
Online ISBN:
9781139164009
DOI:
https://doi.org/10.1017/CBO9781139164009
Subjects:
Economics, Econometrics and Mathematical Methods
Series:
Themes in Modern Econometrics
Information

Book description

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.

Reviews

"The authors have presented a coherent account of the current state of the econometric theory for analyzing seasonal time series processes." Mathematical Reviews

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