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.

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Keywords model selection, seasonality, time series
Persistent URL dx.doi.org/10.1016/0167-7152(92)90176-6, hdl.handle.net/1765/2068
Journal Statistics & Probability Letters
Franses, Ph.H.B.F. (1992). Modeling seasonality in bimonthly time series. Statistics & Probability Letters, 407–415. doi:10.1016/0167-7152(92)90176-6