Periodic Time Series Models (Advanced Texts in Econometrics)

Contents......Page 8
List of figures......Page 10
List of tables......Page 11
Notation and abbreviations......Page 13
1.1 Preliminaries......Page 16
1.2 Readership......Page 18
1.3 Why periodic models?......Page 20
1.4 Outline of this book......Page 23
2.1 Graphs and basic regressions......Page 26
2.2 Typical features of seasonal time series......Page 32
2.3 Summary and outlook......Page 40
3 Univariate periodic time series models......Page 42
3.1 Representation......Page 43
3.2 Stationarity in periodic autoregressions......Page 49
3.3 Model selection and parameter estimation......Page 54
3.4 Forecasting......Page 61
3.5 Effects of neglecting periodicity......Page 63
3.6 Periodic conditional heteroskedasticity......Page 69
3.7 Discussion......Page 73
4 Periodic models for trending data......Page 76
4.1 Representation of unit roots......Page 79
4.2 Intercepts and deterministic trends......Page 87
4.3 Testing for unit roots......Page 92
4.4 Forecasting trending time series......Page 107
4.5 Effects of neglecting periodicity......Page 112
4.A EViews code......Page 114
5 Multivariate periodic time series models......Page 118
5.1 Notation and representation......Page 119
5.2 Useful representations in practice......Page 123
5.3 Cointegration testing—single-equation approach......Page 126
5.4 Cointegration testing—full-system approach......Page 132
5.5 Discussion......Page 137
Appendix A: Critical values of the Dickey and Fuller statistics......Page 140
Appendix B: Critical values of the Johansen trace statistics......Page 141
Appendix C: Critical values of the Boswijk and Franses statistic......Page 144
References......Page 146
G......Page 156
S......Page 157
Y......Page 158
M......Page 160
S......Page 161
W......Page 162