FORECASTING SEASONAL TIME SERIES

Philip Hans Franses

Chapter 3 in Econometric Forecasting and High-Frequency Data Analysis, 2008, pp 93-130 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis chapter deals with seasonal time series in economics and it reviews models that can be used to forecast out-of-sample data. Some of the key properties of seasonal time series are reviewed, and various empirical examples are given for illustration. The potential limitations to seasonal adjustment are reviewed. The chapter further addresses a few basic models like the deterministic seasonality model and the airline model, and it shows what features of the data these models assume to have. Then, the chapter continues with more advanced models, like those concerning seasonal and periodic unit roots. Finally, there is a discussion of some recent advances, which mainly concern models which allow for links between seasonal variation and heteroskedasticity and non-linearity.

Keywords: Econometric Forecasting; High-Frequency Data; Time Series; Seasonality; Compound Autoregressive Processes; Affine Processes; Macroeconomic Modeling; Evaluating Forecast Uncertainty; Financial Data Analysis (search for similar items in EconPapers)
JEL-codes: C4 C5 C7 (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789812778963_0003 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789812778963_0003 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789812778963_0003

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().