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Modelling Seasonality : Advanced Texts in Econometrics - S. Hylleberg

Modelling Seasonality

Advanced Texts in Econometrics

By: S. Hylleberg (Editor)

Paperback Published: 20th August 1992
ISBN: 9780198773184
Number Of Pages: 488

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The realization among econometricians and applied economists that seasonal variation in many time series is often larger and less regular than has been supposed, has recently led to an increased interest in seriously modelling seasonality. The relative size of seasonal variation also means that such modelling is of major economic interest. Important developments in modelling seasonality have occurred - the last ten years have seen improvements in the model based procedures, the discovery of periodic models, seasonal integration and cointegration, and in the development of economic theories of seasonality.This volume brings together some leading papers on the existing standard economic theory of seasonality as well as papers which apply newer statistical tools to the modelling of seasonal phenomena. In addition to the topics already mentioned, it presents and discusses the X-11 method of seasonal adjustment and the introduction includes a description and assessment of the most recent developments.

Industry Reviews

`The volume as a whole constitutes an ideal source of reference relating to seasonality and the editor is to be congratulated on bringing this collection of articles together in one place.' The Economic Journal `The collection, although readable to ordinary econometricians and statisticians, will be more beneficial to those who are more advanced. I would recommend that they have a copy on their shelves.' The Statistician `This book is a collection of papers on some important developments in the modelling of seasonality that have occurred in the last 10-15 years ... The collection, although readable to ordinary econometricians and statisticians, will be more beneficial to those who are more advanced. I would recommend that they have a copy on their shelves.' Uma Moorthy, The Statistician

Introductionp. 1
General Introductionp. 11
The Historical Perspectivep. 22
Seasonal Adjustment and Relations between Variablesp. 27
Seasonality in Regression Christopher A. Simsp. 61
Issues Involved with the Seasonal Adjustment of Economic Time Seriesp. 83
Fragments of an Economic Theory of Seasonalityp. 139
Analysis of Port Pricing of Halibut: Theoretical Considerations and Empirical Resultsp. 145
A Study toward a Dynamic Theory of Seasonality for Economic Time Seriesp. 181
Conclusionp. 188
Seasonality and Habit Persistence in a Life Cycle Model of Consumptionp. 193
Instrumental Variable Estimation Resultsp. 205
Datap. 205
Seasonality, Cost Shocks, and the Production Smoothing Model of Inventoriesp. 210
Seasonal Adjustment Proceduresp. 247
The X-11 Methodp. 256
Unobserved-Components Models for Seasonal Adjustment Filtersp. 259
Model-Based Proceduresp. 283
Introductionp. 288
Estimating Structural Models of Seasonalityp. 291
An Arima-Model-Based Approach to Seasonal Adjustmentp. 321
Forecasting Economic Time Series with Structural and Box--Jenkins Models: a Case Studyp. 341
A Prototypical Seasonal Adjustment Modelp. 359
Seasonal Adjustment and Kalman Filtering: Extension to Periodic Variancesp. 379
Seasonal Integration and Cointegrationp. 391
Testing for Unit Roots in Seasonal Time Seriesp. 399
Seasonal Integration and Cointegrationp. 425
Seasonality and the Order of Integration for Consumptionp. 449
Simulationsp. 464
Index of Namesp. 467
Index of Subjectsp. 473
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780198773184
ISBN-10: 0198773188
Series: Advanced Texts in Econometrics
Audience: Professional
Format: Paperback
Language: English
Number Of Pages: 488
Published: 20th August 1992
Country of Publication: GB
Dimensions (cm): 23.55 x 15.7  x 2.77
Weight (kg): 0.83

Earn 199 Qantas Points
on this Book