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RECENT ADVANCES IN MODELLING SEASONALITY
Author(s) -
Franses Philip Hans
Publication year - 1996
Publication title -
journal of economic surveys
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.657
H-Index - 92
eISSN - 1467-6419
pISSN - 0950-0804
DOI - 10.1111/j.1467-6419.1996.tb00015.x
Subject(s) - seasonality , univariate , seasonal adjustment , econometrics , multivariate statistics , context (archaeology) , unit root , economics , variation (astronomy) , prime (order theory) , econometric model , statistics , mathematics , geography , variable (mathematics) , archaeology , combinatorics , astrophysics , mathematical analysis , physics
. 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.