Seasonality in Regression (ECONOMIC THEORY, ECONOMETRICS, AND MATHEMATICAL ECONOMICS)

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. Content: ECONOMIC THEORY, ECONOMETRICS, AND MATHEMATICAL ECONOMICS: A Series of Monographs and Textbooks, Page ii Front Matter, Page iii Copyright, Page iv Dedication, Page v Preface, Pages xi-xiii CHAPTER 1 - Introduction and Historical Perspective, Pages 1-14 CHAPTER 2 - The Definition of Seasonality, Pages 15-35 CHAPTER 3 - Evaluation Criteria for Seasonal Adjustment Procedures, Pages 36-44 CHAPTER 4 - The Errors-in-Variables Model, Pages 45-87 CHAPTER 5 - The Errors-in-Variables Model: Application of Officially Adjusted Series, Pages 88-119 CHAPTER 6 - The Time-Varying Parameter Model, Pages 120-159 CHAPTER 7 - The Integrated Econometric Time-Series Procedure, Pages 160-213 CHAPTER 8 - Conclusions, Pages 214-220 APPENDIX A - Other Officially Applied Seasonal Adjustment Methods: A Survey, Pages 221-226 APPENDIX B - The Autocovariance Generating Functions of ARMA Models, Pages 227-228 APPENDIX C - A Tool Kit for the Formulation of Univariate and Multivariate Time-Series Models, Pages 229-239 APPENDIX D - A Collection of Time Series Used in the Applications, Pages 240-253 References, Pages 255-266 Index, Pages 267-269 Svend Hylleberg. Includes Index. Bibliography: P. 255-266.