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Periodic Time Series Models$
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Philip Hans Franses and Richard Paap

Print publication date: 2004

Print ISBN-13: 9780199242023

Published to Oxford Scholarship Online: August 2004

DOI: 10.1093/019924202X.001.0001

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Properties of seasonal time series

Properties of seasonal time series

Chapter:
(p.11) 2 Properties of seasonal time series
Source:
Periodic Time Series Models
Author(s):

Philip Hans Franses (Contributor Webpage)

Richard Paap (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/019924202X.003.0002

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

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