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Seasonal Integration and the Evolving Seasonals Models

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Author Info
Hylleberg, S.
Pagan, A.R.

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Abstract

In this paper it is argued that describing seasonal patterns as an evolving seasonals model in which the coefficients attached to seasonal trigonometric terms follow simple autoregressive processes can be very usefule when one is faced with the task of extending well known results obtained for non seasonal time series to the seasonal Case.

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Publisher Info
Paper provided by School of Economics and Management, University of Aarhus in its series Economics Working Papers with number 1996-14.

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Length: 23 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:aah:aarhec:1996-14

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Web page: http://www.econ.au.dk/afn/

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Related research
Keywords: ECONOMIC MODELS; REGRESSION ANALYSIS;

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

Cited by:
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  1. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, EconWPA. [Downloadable!]
  2. Alvaro Forteza, . "Overinsurance in the Welfare State," Economics Working Papers 1997-3, School of Economics and Management, University of Aarhus. [Downloadable!]
  3. Lawrence J. Christiano & Richard M. Todd, 2000. "The Conventional Treatment of Seasonality in Business Cycle Analysis: Does it Create Distortions?," NBER Technical Working Papers 0266, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, School of Economics and Management, University of Aarhus. [Downloadable!]
  5. Gary Koop & Herman K. van Dijk, 1999. "Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach," Tinbergen Institute Discussion Papers 99-072/4, Tinbergen Institute. [Downloadable!]
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