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A model selection procedure for time series with seasonality

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  • Franses, Philip Hans

Abstract

In this paper a model selection test procedure for seasonal time series is proposed. It uses the estimated autocorrelations of the moving average part of the Box and Jenkins airline model. This ensures that the test statistics asymptotically follow standard normal distributions. The merits and limitations of the procedure are illustrated via simulations as well as by some empirical series.

Suggested Citation

  • Franses, Philip Hans, 1993. "A model selection procedure for time series with seasonality," Statistics & Probability Letters, Elsevier, vol. 16(4), pages 253-258, March.
    • Handle: RePEc:eee:stapro:v:16:y:1993:i:4:p:253-258
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    Cited by:

    1. Muhammad Surajo Sanusi & Farooq Ahmad, 2016. "An analysis of seasonality fluctuations in the oil and gas stock returns," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1128133-112, December.

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