Modeling seasonality in bimonthly time series

Philip Hans Franses

Statistics & Probability Letters, 1992, vol. 15, issue 5, 407-415

Abstract: A recurring issue in modeling seasonal time series variables is the choice of the most adequate model for the seasonal movements. One selection method for quarterly data is proposed in Hylleberg et al. (1990). Market response models are often constructed for bimonthly variables, and hence the topic of the present paper is an extension of their method to such time series.

Keywords: Time; series; seasonality; model; selection (search for similar items in EconPapers)
Date: 1992
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