Chapter

Properties of seasonal time series

Philip Hans Franses and Richard Paap

in Periodic Time Series Models

Published in print March 2004 | ISBN: 9780199242023
Published online August 2004 | e-ISBN: 9780191601286 | DOI: http://dx.doi.org/10.1093/019924202X.003.0002

Series: Advanced Texts in Econometrics

 Properties of seasonal time series

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Chapter 2 aims to convince the reader that economic time series show marked seasonality and an obvious trend, and, foremost, that the patterns of these trends and seasonal fluctuations do not seem to be very stable over time, nor do they seem to be similar across time series. We illustrate this for a range of quarterly US industrial production series, but other quarterly series from other countries would have yielded the same qualitative conclusion, as a glance at the relevant literature will indicate. We use graphical techniques and recently developed tests for seasonal unit roots. When economic data show evidence of unit roots, then one can conclude that the trend or the seasonal patterns are of a stochastic nature. This observation provides motivation for considering periodic models for economic data with a stochastic trend.

Keywords: Seasonal time series; seasonal fluctuations; seasonal unit roots

Chapter.  5350 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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