Periodicity and Stochastic Trends in Economic Time Series

by Philip Hans Franses

Book Overview

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...

• Format: Paperback
• Language: English
• ISBN: 0198774540
• ISBN13: 9780198774549
• Release Date: October 1996
• Publisher: OUP Oxford
• Length: 242 Pages
• Weight: 0.76 lbs.
• Dimensions: 0.5" x 6.1" x 9.2"