季节时间序列理论发展综述  

An Overview of Seasonal Time Series Theory

作　　者：杜勇宏[1] 王汝芳[2] 

机构地区：[1]南开大学经济学院,天津300071 [2]北京物资学院经济学院,北京101149

出　　处：《技术经济与管理研究》2009年第6期3-9,共7页Journal of Technical Economics & Management

基　　金：国家社会科学基金(项目名称:非经典计量经济学理论方法研究;项目编号:03BJY014);北京物资学院科研基地--金融期货创新平台项目

摘　　要：随着社会的进步,统计数据由过去的年度数据变为如今的季度、月度和日度数据,有些以实时交易为基础的超高频金融数据达到了按秒为间隔的频率,这些数据被称为季节时间序列。季节时间序列研究已经成为近十年来经济计量学和统计学中的热点,Journal of Econometrics(1993,volume55)就此问题进行了专题讨论。本文按照历史发展顺序对季节性时间序列理论进行了系统地介绍,并对这一领域的前沿热点问题进行了评述和展望。With the development of society, economic time series are usually released on a quarterly ,monthly or daily frequency, some financial market data are available on a transaction basis and hence are released on a secondly frequency. They are called seasonal time series. In the past decade, the research of seasonal time series is of high interest to economist and statistics. This subject is especially discussed in Journal of Econometrics（1993,volume 55）. This article introduced the seasonal time series theory systemically and stated the frontier in this field.

关 键 词：季节性 季节调整 季节单位根 季节协整 周期性过程 

分 类 号：F224[经济管理—国民经济]