Forecasting Seasonal Time Series
This chapter reviews the principal methods used by researchers when forecasting seasonal time series. In addition, the often overlooked implications of forecasting and feedback for seasonal adjustment are discussed. After an introduction in Section 1, Section 2 examines traditional univariate linear models, including methods based on SARIMA models, seasonally integrated models and deterministic seasonality models. As well as examining how forecasts are computed in each case, the forecast implications of misspecifying the class of model (deterministic versus nonstationary stochastic) are considered. The linear analysis concludes with a discussion of the nature and implications of cointegration in the context of forecasting seasonal time series, including merging short-term seasonal forecasts with those from long-term (nonseasonal) models. Periodic (or seasonally varying parameter) models, which often arise from theoretical models of economic decision-making, are examined in Section 3. As periodic models may be highly parameterized, their value for forecasting can be open to question. In this context, modelling procedures for periodic models are critically examined, as well as procedures for forecasting. Section 3 discusses less traditional models, specifically nonlinear seasonal models and models for seasonality in variance. Such nonlinear models primarily concentrate on interactions between seasonality and the business cycle, either using a threshold specification to capture changing seasonality over the business cycle or through regime transition probabilities being seasonally varying in a Markov switching framework. Seasonality heteroskedasticity is considered for financial time series, including deterministic versus stochastic seasonality, periodic GARCH and periodic stochastic volatility models for daily or intra-daily series. Economists typically consider that seasonal adjustment rids their analysis of the "nuisance" of seasonality. Section 5 shows this to be false. Forecasting seasonal time series is an inherent part of seasonal adjustment and, further, decisions based on seasonally adjusted data affect future outcomes, which destroys the assumed orthogonality between seasonal and nonseasonal components of time series.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
|This chapter was published in: ||This item is provided by Elsevier in its series Handbook of Economic Forecasting with number
1-13.||Handle:|| RePEc:eee:ecofch:1-13||Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/bookseriesdescription.cws_home/BS_HE/description|
When requesting a correction, please mention this item's handle: RePEc:eee:ecofch:1-13. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.