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Forecasting Seasonal Time Series

In: Econometric Forecasting And High-Frequency Data Analysis

Author

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  • Philip Hans Franses

    (Econometric Institute, Erasmus University Rotterdam, P.O. Box 1738, NL-3000 DR Rotterdam, The Netherlands)

Abstract

This 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.

Suggested Citation

  • Philip Hans Franses, 2008. "Forecasting Seasonal Time Series," World Scientific Book Chapters, in: Roberto S Mariano & Yiu-Kuen Tse (ed.), Econometric Forecasting And High-Frequency Data Analysis, chapter 3, pages 93-130, World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789812778963_0003
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    Cited by:

    1. Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2011. "Forecast Evaluation in Call Centers: Combined Forecasts, Flexible Loss Functions and Economic Criteria," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1109, Universitá degli Studi di Milano.

    More about this item

    Keywords

    Econometric Forecasting; High-Frequency Data; Time Series; Seasonality; Compound Autoregressive Processes; Affine Processes; Macroeconomic Modeling; Evaluating Forecast Uncertainty; Financial Data Analysis;
    All these keywords.

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory

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