ECONOMIC TIME SERIES: MODELING AND SEASONALITY W. R.

摘要

Many economic time series are observed at regular intervals during the year, for example quarterly, monthly or weekly. It has been recognized that this sampling frequency - known as the seasonal frequency - may manifest itself in the data generation process of such series. This has led to the development of two types of time series models for such series: so-called seasonal models in which the lag structure reflects the seasonal frequency and so-called periodic models in which the coefficients change with periodicity equal to the seasonal frequency.