This text provides a self-contained account of periodic models for seasonally observed economic time series with stochastic trends. The analysis considers econometric theory, Monte Carlo simulation and forecasting, and it is illuminated with empirical time series. The key feature of the proposed models is that changing seasonal fluctuations depend on the trend and business cycle fluctuations. In the case of such dependence, it is shown that seasonal adjustment leads to inappropriate results.
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"The book is at its best describing the complex possibilities that arise in periodic models with unit roots and describing and illustrating current techniques for discriminating among these possibilities. This material is pitched at a level that should be useful to theorists and applied econometricians alike."--Econometric Reviews
About the Author
Philip Hans Franses is at Royal Netherlands Academy of Arts and Sciences.
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