Modeling seasonality in bimonthly time series
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.
|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