Seasonality in Regression
- 1st Edition - April 28, 1986
- Latest edition
- Author: Svend Hylleberg
- Editor: Karl Shell
- Language: English
Seasonality in Regression presents the problems of seasonality in economic regression models. This book discusses the procedures that may have application in practical econometric… Read more
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Description
Description
Seasonality in Regression presents the problems of seasonality in economic regression models. This book discusses the procedures that may have application in practical econometric work. Organized into eight chapters, this book begins with an overview of the tremendous increase in the computational capabilities made by the development of the electronic computer that has profound implications for the way seasonality is handled by economists. This text then examines some seasonal models and their characteristics. Other chapters consider the most frequently applied evaluation criteria and appraise the values in the applications. This book discusses as well the frequency domain estimators and provides insight into problems of estimating the disturbance–covariance matrix through the use of the disturbance spectrum. The final chapter deals with the main objective of the treatment of personality to formulate and estimate econometric models. This book is a valuable resource for economists and econometricians who have knowledge of econometrics at an advanced undergraduate or graduate level.
Table of contents
Table of contents
Preface
Chapter 1 Introduction and Historical Perspective
1.1 Introduction
1.2 The Historical Perspective
Chapter 2 The Definition of Seasonality
2.1 Introduction
2.2 Some Seasonal Models and Their Characteristics
2.3 The Definition of Seasonality
2.4 Some Illustrative Examples
2.5 Conclusions
Chapter 3 Evaluation Criteria for Seasonal Adjustment Procedures
3.1 Introduction
3.2 Evaluation Criteria for Seasonal Adjustment Procedures
3.3 Conclusions
Chapter 4 The Errors-in-Variables Model
4.1 Introduction
4.2 The Errors-in-Variables Model
4.3 Estimation, Diagnostic Checking, and Inference
4.4 Applications
4.5 Conclusions
Chapter 5 The Errors-in-Variables Model: Application of Officially Adjusted Series
5.1 Introduction
5.2 Officially Applied Seasonal Adjustment Methods
5.3 A General Evaluation of Officially Applied Seasonal Adjustment Methods
5.4 An Evaluation in the Context of a Regression Model
5.5 Applications
5.6 Conclusions
Chapter 7 The Integrated Econometric Time-SeriesProcedure
7.1 Introduction
7.2 The Basic Models
7.3 Estimation, Diagnostic Checking, and Inference
7.4 Applications
7.5 Conclusions
Chapter 8 Conclusions
8.1 Introduction
8.2 The Errors-in-Variables Approach
8.3 The Time-Varying Parameters Approach
8.4 The Integrated Approach
Appendix A Other Officially Applied Seasonal Adjustment Methods: A Survey
Appendix B The Autocovariance Generating Functions of ARMA Models
Appendix C A Tool Kit for the Formulation of Univariate and Multivariate Time-Series Models
Appendix D A Collection of Time Series Used in the Applications
References
Index
Product details
Product details
- Edition: 1
- Latest edition
- Published: April 28, 1986
- Language: English
About the editor
About the editor
KS
Karl Shell
Affiliations and expertise
Cornell UniversityView book on ScienceDirect
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