عنوان
پدید آورنده
موضوع
رده
HB141 .F72 2004eb
HB141
.
F72
2004eb
کتابخانه
محل استقرار
0191529265
0191601284
019924202X
0199242038
1429420375
9780191529269
9780191601286
9780199242023
9780199242030
9781429420372
b727396
Periodic time series models /
[Book]
Philip Hans Franses and Richard Paap.
New York :
Oxford University Press,
2004.
1 online resource (xiv, 147 pages) :
illustrations
Advanced texts in econometrics
Includes bibliographical references and index.
List of figures; List of tables; Notation and abbreviations; 1 Introduction; 1.1 Preliminaries; 1.2 Readership; 1.3 Why periodic models?; 1.4 Outline of this book; 2 Properties of seasonal time series; 2.1 Graphs and basic regressions; 2.2 Typical features of seasonal time series; 2.3 Summary and outlook; 3 Univariate periodic time series models; 3.1 Representation; 3.2 Stationarity in periodic autoregressions; 3.3 Model selection and parameter estimation; 3.4 Forecasting; 3.5 Effects of neglecting periodicity; 3.6 Periodic conditional heteroskedasticity; 3.7 Discussion
4 Periodic models for trending data4.1 Representation of unit roots; 4.2 Intercepts and deterministic trends; 4.3 Testing for unit roots; 4.4 Forecasting trending time series; 4.5 Effects of neglecting periodicity; 4.6 Conclusion; 4.A EViews code; 5 Multivariate periodic time series models; 5.1 Notation and representation; 5.2 Useful representations in practice; 5.3 Cointegration testing-single-equation approach; 5.4 Cointegration testing-full-system approach; 5.5 Discussion; Appendix A: Critical values of the Dickey and Fuller statistics
Appendix B: Critical values of the Johansen trace statisticsAppendix C: Critical values of the Boswijk and Franses statistic; References; Author index; A; B; C; D; E; F; G; H; I; J; K; L; M; N; O; P; R; S; T; V; W; Y; Subject index; A; C; D; E; F; G; H; I; J; M; N; P; R; S; T; U; V; W
0
8
8
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.
Periodic time series models.
0199242038
Econometric models.
Time-series analysis.
Modèles économétriques.
Série chronologique.
BUSINESS & ECONOMICS-- Econometrics.
BUSINESS & ECONOMICS-- Statistics.
Econometric models.
Tijdreeksen.
Time-series analysis.
BUS-- 021000
BUS-- 061000
330
.
015195
22
HB141
.
F72
2004eb
Franses, Philip Hans,1963-
Paap, Richard.
20201214000313.0
pn
مطالعه متن کتاب [Book]
Y
