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Constant vs. Changing Seasonality

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  • Philip Hans Franses

Abstract

Philip Franses discusses the problem of allowing seasonal patterns to change over time. He notes that most standard models presume a constant seasonal pattern; however, his preference is to use models that allow the seasonal pattern to evolve over time, such as periodic models and time-dependent parameter models. Such models, however, can substantially increase sample size requirements. Copyright International Institute of Forecasters, 2007

Suggested Citation

  • Philip Hans Franses, 2007. "Constant vs. Changing Seasonality," Foresight: The International Journal of Applied Forecasting, International Institute of Forecasters, issue 6, pages 24-25, Spring.
  • Handle: RePEc:for:ijafaa:y:2007:i:6:p:24-25
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    Cited by:

    1. Capistrán, Carlos & Constandse, Christian & Ramos-Francia, Manuel, 2010. "Multi-horizon inflation forecasts using disaggregated data," Economic Modelling, Elsevier, vol. 27(3), pages 666-677, May.
    2. Carlos Capistrán & Christian Constandse & Manuel Ramos Francia, 2009. "Using Seasonal Models to Forecast Short-Run Inflation in Mexico," Working Papers 2009-05, Banco de México.

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