Periodicity and Stochastic Trends in Economic Time Series

Periodicity and Stochastic Trends in Economic Time Series
Author: Philip Hans Franses
Publisher: Oxford University Press, USA
Total Pages: 256
Release: 1996
Genre: Business & Economics
ISBN:

Download Periodicity and Stochastic Trends in Economic Time Series Book in PDF, Epub and Kindle

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.

Periodicity & Stochastic Trends in Economic Time Series

Periodicity & Stochastic Trends in Economic Time Series
Author: Philip Hans Franses
Publisher:
Total Pages: 0
Release: 2023
Genre: Cycles
ISBN: 9781383033144

Download Periodicity & Stochastic Trends in Economic Time Series Book in PDF, Epub and Kindle

This text provides a self-contained account of periodic models for seasonally observed economic time series with stochastic trends. The analysis considers econometric theory, Monte Carlo simulation and forecasting, and it is illuminated with empirical time series.

Periodic Time Series Models

Periodic Time Series Models
Author: Philip Hans Franses
Publisher: OUP Oxford
Total Pages: 166
Release: 2004-03-25
Genre: Business & Economics
ISBN: 0191529265

Download Periodic Time Series Models Book in PDF, Epub and Kindle

This book considers periodic time series models for seasonal data, characterized by parameters that differ across the seasons, and focuses on their usefulness for out-of-sample forecasting. Providing an up-to-date survey of the recent developments in periodic time series, the book presents a large number of empirical results. The first part of the book deals with model selection, diagnostic checking and forecasting of univariate periodic autoregressive models. Tests for periodic integration, are discussed, and an extensive discussion of the role of deterministic regressors in testing for periodic integration and in forecasting is provided. The second part discusses multivariate periodic autoregressive models. It provides an overview of periodic cointegration models, as these are the most relevant. This overview contains single-equation type tests and a full-system approach based on generalized method of moments. All methods are illustrated with extensive examples, and the book will be of interest to advanced graduate students and researchers in econometrics, as well as practitioners looking for an understanding of how to approach seasonal data.

Forecasting Economic Time Series

Forecasting Economic Time Series
Author: Michael Clements
Publisher: Cambridge University Press
Total Pages: 402
Release: 1998-10-08
Genre: Business & Economics
ISBN: 9780521634809

Download Forecasting Economic Time Series Book in PDF, Epub and Kindle

This book provides a formal analysis of the models, procedures, and measures of economic forecasting with a view to improving forecasting practice. David Hendry and Michael Clements base the analyses on assumptions pertinent to the economies to be forecast, viz. a non-constant, evolving economic system, and econometric models whose form and structure are unknown a priori. The authors find that conclusions which can be established formally for constant-parameter stationary processes and correctly-specified models often do not hold when unrealistic assumptions are relaxed. Despite the difficulty of proceeding formally when models are mis-specified in unknown ways for non-stationary processes that are subject to structural breaks, Hendry and Clements show that significant insights can be gleaned. For example, a formal taxonomy of forecasting errors can be developed, the role of causal information clarified, intercept corrections re-established as a method for achieving robustness against forms of structural change, and measures of forecast accuracy re-interpreted.

Notes on Economic Time Series Analysis: System Theoretic Perspectives

Notes on Economic Time Series Analysis: System Theoretic Perspectives
Author: Masanao Aoki
Publisher: Springer Science & Business Media
Total Pages: 262
Release: 2012-12-06
Genre: Mathematics
ISBN: 3642455654

Download Notes on Economic Time Series Analysis: System Theoretic Perspectives Book in PDF, Epub and Kindle

In seminars and graduate level courses I have had several opportunities to discuss modeling and analysis of time series with economists and economic graduate students during the past several years. These experiences made me aware of a gap between what economic graduate students are taught about vector-valued time series and what is available in recent system literature. Wishing to fill or narrow the gap that I suspect is more widely spread than my personal experiences indicate, I have written these notes to augment and reor ganize materials I have given in these courses and seminars. I have endeavored to present, in as much a self-contained way as practicable, a body of results and techniques in system theory that I judge to be relevant and useful to economists interested in using time series in their research. I have essentially acted as an intermediary and interpreter of system theoretic results and perspectives in time series by filtering out non-essential details, and presenting coherent accounts of what I deem to be important but not readily available, or accessible to economists. For this reason I have excluded from the notes many results on various estimation methods or their statistical properties because they are amply discussed in many standard texts on time series or on statistics.

Modelling Trends and Cycles in Economic Time Series

Modelling Trends and Cycles in Economic Time Series
Author: Terence C. Mills
Publisher: Springer Nature
Total Pages: 219
Release: 2021-07-29
Genre: Business & Economics
ISBN: 3030763595

Download Modelling Trends and Cycles in Economic Time Series Book in PDF, Epub and Kindle

Modelling trends and cycles in economic time series has a long history, with the use of linear trends and moving averages forming the basic tool kit of economists until the 1970s. Several developments in econometrics then led to an overhaul of the techniques used to extract trends and cycles from time series. In this second edition, Terence Mills expands on the research in the area of trends and cycles over the last (almost) two decades, to highlight to students and researchers the variety of techniques and the considerations that underpin their choice for modelling trends and cycles.

Periodic Time Series Models

Periodic Time Series Models
Author: Philip Hans Franses
Publisher:
Total Pages: 147
Release: 2004
Genre: Econometric models
ISBN: 9780191601286

Download Periodic Time Series Models Book in PDF, Epub and Kindle

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.

Handbook of Economic Forecasting

Handbook of Economic Forecasting
Author: G. Elliott
Publisher: Elsevier
Total Pages: 1071
Release: 2006-07-14
Genre: Business & Economics
ISBN: 0444513957

Download Handbook of Economic Forecasting Book in PDF, Epub and Kindle

Section headings in this handbook include: 'Forecasting Methodology; 'Forecasting Models'; 'Forecasting with Different Data Structures'; and 'Applications of Forecasting Methods.'.

Spectral Analysis of Economic Time Series. (PSME-1)

Spectral Analysis of Economic Time Series. (PSME-1)
Author: Clive William John Granger
Publisher: Princeton University Press
Total Pages: 318
Release: 2015-12-08
Genre: Business & Economics
ISBN: 1400875528

Download Spectral Analysis of Economic Time Series. (PSME-1) Book in PDF, Epub and Kindle

The important data of economics are in the form of time series; therefore, the statistical methods used will have to be those designed for time series data. New methods for analyzing series containing no trends have been developed by communication engineering, and much recent research has been devoted to adapting and extending these methods so that they will be suitable for use with economic series. This book presents the important results of this research and further advances the application of the recently developed Theory of Spectra to economics. In particular, Professor Hatanaka demonstrates the new technique in treating two problems-business cycle indicators, and the acceleration principle existing in department store data. Originally published in 1964. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.