Periodic Time Series Models
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Periodic Time Series Models by Philip Hans Franses
Book DescriptionThis 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.
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Book DetailsISBN: 9780199242030
(234mm x 156mm x 9mm)
Imprint: Oxford University Press Inc
Publisher: Oxford University Press Inc
Publish Date: 25-Mar-2004
Country of Publication: United States
Books By Author Philip Hans Franses
Expert Adjustments of Model Forecasts, Hardback (October 2014)
Brings together current theoretical insights and new empirical results to examine expert adjustment of model forecasts from an econometric perspective.
Time Series Models for Business and Economic Forecasting, Hardback (April 2014)
Taking a practical approach, this updated and classroom-tested textbook prepares students to create effective forecasting models for business and economics.
Quantitative Models in Marketing Research, Paperback (June 2010)
This 2001 book presents important and practically relevant quantitative models used for marketing research.
Econometric Methods with Applications in Business and Economics, Hardback (March 2004)» View all books by Philip Hans Franses
Providing an understanding and experience of econometrics, this book covers basic econometric methods and addresses the creative process of model building. Using examples and exercises, it focuses on regression and covers choice data and time series data. It is aimed at undergraduate students, new graduate students, and applied researchers.
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Author Biography - Philip Hans Franses
Richard Paap is a Postdoctoral Researcher at the Econometric Institute in Erasmus University, Rotterdam.
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