Flexible Seasonal Time Series Models

Zongwu Cai and Rong Chen

A chapter in Econometric Analysis of Financial and Economic Time Series, 2006, pp 63-87 from Emerald Group Publishing Limited

Abstract: In this article, we propose a new class of flexible seasonal time series models to characterize the trend and seasonal variations. The proposed model consists of a common trend function over periods and additive individual trend (seasonal effect) functions that are specific to each season within periods. A local linear approach is developed to estimate the trend and seasonal effect functions. The consistency and asymptotic normality of the proposed estimators, together with a consistent estimator of the asymptotic variance, are obtained under the α-mixing conditions and without specifying the error distribution. The proposed methodologies are illustrated with a simulated example and two economic and financial time series, which exhibit nonlinear and nonstationary behavior.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-9053(05)20022-1

DOI: 10.1016/S0731-9053(05)20022-1

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