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Recent Advances in Modelling Seasonality

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  • Franses, Philip Hans

Abstract

In this paper we review recent developments in econometric modelling of economic time series with seasonality. The prime focus is on econometric models which incorporate explicit descriptions of seasonal variation, instead of removing this variation using a seasonal adjustment method. This review centres around developments in seasonal unit root models and in periodic parameter models, both in the univariate and multivariate context. Several empirical examples are used for illustration. We also discuss several areas for further research. Copyright 1996 by Blackwell Publishers Ltd

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  • Franses, Philip Hans, 1996. " Recent Advances in Modelling Seasonality," Journal of Economic Surveys, Wiley Blackwell, vol. 10(3), pages 299-345, September.
  • Handle: RePEc:bla:jecsur:v:10:y:1996:i:3:p:299-345
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    Cited by:

    1. De Gooijer, Jan G. & Franses, Philip Hans, 1997. "Forecasting and seasonality," International Journal of Forecasting, Elsevier, vol. 13(3), pages 303-305, September.
    2. Swanson, Norman R. & Urbach, Richard, 2015. "Prediction and simulation using simple models characterized by nonstationarity and seasonality," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 312-323.
    3. Bohl, Martin T., 2000. "Nonstationary stochastic seasonality and the German M2 money demand function," European Economic Review, Elsevier, vol. 44(1), pages 61-70, January.
    4. repec:erh:journl:v:9:y:2017:i:2:p:37-49 is not listed on IDEAS
    5. Emanuela Marrocu, 2006. "An Investigation of the Effects of Data Transformation on Nonlinearity," Empirical Economics, Springer, vol. 31(4), pages 801-820, November.
    6. Ooms, M. & Franses, Ph.H.B.F., 1998. "A seasonal periodic long memory model for monthly river flows," Econometric Institute Research Papers EI 9842, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    7. Wells, J. M., 1997. "Modelling seasonal patterns and long-run trends in U.S. time series," International Journal of Forecasting, Elsevier, vol. 13(3), pages 407-420, September.
    8. Philip Hans Franses & Yoshinori Kawasaki, 2004. "Do seasonal unit roots matter for forecasting monthly industrial production?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(2), pages 77-88.
    9. Hecq, Alain, 1998. "Does seasonal adjustment induce common cycles?," Economics Letters, Elsevier, vol. 59(3), pages 289-297, June.
    10. Paulo Rodrigues & Philip Hans Franses, 2005. "A sequential approach to testing seasonal unit roots in high frequency data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(6), pages 555-569.
    11. Albertson, Kevin & Aylen, Jonathan, 1999. "Forecasting using a periodic transfer function: with an application to the UK price of ferrous scrap," International Journal of Forecasting, Elsevier, vol. 15(4), pages 409-419, October.
    12. Zhang, G. Peter & Qi, Min, 2005. "Neural network forecasting for seasonal and trend time series," European Journal of Operational Research, Elsevier, vol. 160(2), pages 501-514, January.
    13. Evans, Mark, 2006. "A study of the relationship between regional ferrous scrap prices in the USA, 1958-2004," Resources Policy, Elsevier, vol. 31(2), pages 65-77, June.
    14. Mendez Parra, Maximiliano, 2015. "Seasonal Unit Roots and Structural Breaks in agricultural time series: Monthly exports and domestic supply in Argentina," MPRA Paper 63831, University Library of Munich, Germany, revised 06 Apr 2015.
    15. Yoshinori Kawasaki, 1996. "A Model Selection Approach to detect Seasonal Unit Roots," Tinbergen Institute Discussion Papers 96-180/7, Tinbergen Institute.
    16. Jorge Ridderstaat & Peter Nijkamp, 2013. "Measuring Pattern, Amplitude and Timing Differences between Monetary and Non-Monetary Seasonal Factors of Tourism - the Case of Aruba," Tinbergen Institute Discussion Papers 13-116/VIII, Tinbergen Institute, revised 05 Sep 2013.
    17. Méndez Parra, Maximiliano, 2015. "Futures prices, trade and domestic supply of agricultural commodities," Economics PhD Theses 0115, Department of Economics, University of Sussex.
    18. Marta Skrzypczyńska, 2014. "Cyclical Processes in the Polish Economy," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 6(3), pages 153-192, September.
    19. Clements, Michael P. & Hendry, David F., 1997. "An empirical study of seasonal unit roots in forecasting," International Journal of Forecasting, Elsevier, vol. 13(3), pages 341-355, September.
    20. Benoit Faye & Éric Le Fur, 2010. "L'étude du lien entre cycle et saisonnalité sur un marché immobilier résidentiel. Le cas de l'habitat ancien à Bordeaux," Revue d'économie régionale et urbaine, Armand Colin, vol. 0(5), pages 937-965.
    21. Yoshinori Kawasaki & Philip Hans Franses, 2003. "Detecting seasonal unit roots in a structural time series model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(4), pages 373-387.

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