Mendeley出力
＜図書＞
Periodicity and stochastic trends in economic time series
| 責任表示 | Philip Hans Franses |
|---|---|
| シリーズ | Advanced texts in econometrics |
| データ種別 | 図書 |
| 出版情報 | Oxford : Oxford University Press , c1996 |
| 本文言語 | 英語 |
| 大きさ | xii, 230 p. : ill. ; 24 cm |
| 概要 | 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 cointegratio.... 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. 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. 続きを見る |
所蔵情報
| 状態 | 巻次 | 所蔵場所 | 請求記号 | 刷年 | 文庫名称 | 資料番号 | コメント | 予約・取寄 | 複写申込 | 自動書庫 |
|---|---|---|---|---|---|---|---|---|---|---|
|
|
: pbk | 理系図3F 数理独自 | FRAN/145/1 | 1996 |
|
023211997003241 |
|
|||
|
|
|
中央図 3B | 331.19/F 44-2/1 | 1996 |
|
017211996007990 |
|
書誌詳細
| 一般注記 | Includes bibliographical references (p. [215]-224) and indexes |
|---|---|
| 著者標目 | *Franses, Philip Hans |
| 件 名 | LCSH:Econometrics LCSH:Time-series analysis LCSH:Stochastic analysis LCSH:Cycles |
| 分 類 | NDC9:331.19 LCC:HB139 DC20:330/.01/5195 |
| 書誌ID | 1000288260 |
| ISBN | 0198774540 |
| NCID | BA28304617 |
| 巻冊次 | : pbk ; ISBN:0198774540 ISBN:0198774532 |
| 登録日 | 2009.09.11 |
| 更新日 | 2009.11.02 |