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The Econometric Analysis of Seasonal Time Series

The Econometric Analysis of Seasonal Time Series

$47.99 (P)

Part of Themes in Modern Econometrics

  • Date Published: June 2001
  • availability: Available
  • format: Paperback
  • isbn: 9780521565882

$ 47.99 (P)

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About the Authors
  • Economic and financial time series feature important seasonal fluctuations. Despite their regular and predictable patterns over the year, month or week, they pose many challenges to economists and econometricians. This book provides a thorough review of the recent developments in the econometric analysis of seasonal time series. It is designed for an audience of specialists in economic time series analysis and advanced graduate students. It is the most comprehensive and balanced treatment of the subject since the mid-1980s.

    • Most rigorous and broad survey analysis available on role of seasonality in economics, finance
    • Can be used as supplementary graduate text in courses in econometrics, statistics, finance
    • Authors well-known for their work on this subject; should trump the competition
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    Reviews & endorsements

    "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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    Product details

    • Date Published: June 2001
    • format: Paperback
    • isbn: 9780521565882
    • length: 252 pages
    • dimensions: 229 x 152 x 14 mm
    • weight: 0.38kg
    • contains: 15 b/w illus. 2 tables
    • availability: Available
  • Table of Contents

    1. Introduction to seasonal processes
    2. Deterministic seasonality
    3. Seasonal unit root processes
    4. Seasonal adjustment programs
    5. Estimation and hypothesis testing with filtered data
    6. Periodic processes
    7. Some nonlinear seasonal models
    8. Epilogue.

  • Authors

    Eric Ghysels, University of North Carolina, Chapel Hill

    Denise R. Osborn, University of Manchester

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