Modelling Seasonality
Published on 1. August 1992
Book
Hardback
482 pages
978-0-19-877317-7 (ISBN)
Description
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 co-integration 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, it presents and discusses the X-11 method of seasonal adjustment and the introduction includes a description and assessment of recent developments.
More details
Language
English
Place of publication
Oxford
United Kingdom
Target group
College/higher education
Professional and scholarly
Illustrations
line drawings, tables, bibliography
ISBN-13
978-0-19-877317-7 (9780198773177)
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Schweitzer Classification
Content
Part 1 Introduction: the historical perspective, S. Hylleberg; seasonal adjustment and relations between variables, K.F. Wallis; seasonality in regression, C.A. Sims; issues involved with the seasonal adjustment of economic time series, W.R. Bell and S.C. Hillmer. Part 2 Fragments of an economic theory of seasonality: analysis of port pricing of halibut - theoretical considerations and empirical results, J. Crutchfield and A. Zellner; a study toward a dynamic theory of seasonality for economic time series, E. Ghysels; seasonality and habit persistence in a life cycle model of consumption, D.R. Osborn; seasonality, cost shocks and the production smoothing model of inventories, J.A. Miron and S.P. Zeldes. Part 3 Seasonal adjustment procedures: the X-11 method, S. Hylleberg; unobserved-components models for seasonal adjustment filters, P. Burridge and K.F. Wallis. Part 4 Model-based procedures: estimating structural models of seasonality, R.F. Engle; an ARIMA-model-based approach to seasonal adjustment, S.C. Hillmer and G.C. Tiao; forecasting economic time series with structural and Box-Jenkins models - a case study, A.C. Harvey and P.H.J. Todd; a prototypical seasonal adjustment model, A. Maravall and D.A. Pierce; seasonal adjustment and Kalman filtering - extension to periodic variances, P. Burridge and K.F. Wallis. Part 5 Seasonal integration and cointegration: testing for unit roots in seasonal time series, D.A. Dickey et al; seasonal integration and cointegration, S. Hylleberg et al; seasonality and the order of integration for consumption, D.R. Osborn et al.