Seasonality in Regression - 1st Edition - ISBN: 9780123634559, 9781483277745

Seasonality in Regression

1st Edition

Authors: Svend Hylleberg
Editors: Karl Shell
eBook ISBN: 9781483277745
Imprint: Academic Press
Published Date: 28th April 1986
Page Count: 284
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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


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




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© Academic Press 1986
Academic Press
eBook ISBN:

About the Author

Svend Hylleberg

About the Editor

Karl Shell

Affiliations and Expertise

Cornell University

Ratings and Reviews