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Modeling seasonality in bimonthly time series

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  • Franses, Philip Hans

Abstract

A recurring issue in modeling seasonal time series variables is the choice of the most adequate model for the seasonal movements. One selection method for quarterly data is proposed in Hylleberg et al. (1990). Market response models are often constructed for bimonthly variables, and hence the topic of the present paper is an extension of their method to such time series.

Suggested Citation

  • Franses, Philip Hans, 1992. "Modeling seasonality in bimonthly time series," Statistics & Probability Letters, Elsevier, vol. 15(5), pages 407-415, December.
    • Handle: RePEc:eee:stapro:v:15:y:1992:i:5:p:407-415
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    Cited by:

    1. Shin, Dong Wan & So, Beong Soo, 2000. "Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments," Journal of Econometrics, Elsevier, vol. 99(1), pages 107-137, November.

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