Abstract
Many financial and economic time series exhibit a regular cyclicality, periodicity, or “seasonality.” For example, agricultural output follows seasonal variation, flower sales are higher in February, retail sales are higher in December, and beer sales in college towns are lower during the summers.
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Notes
- 1.
The conclusions in Osborn et al. (1999) are tempered a bit by their finding that seasonal unit root models have good out-of-sample forecasting properties. This might have more to say about the low power of seasonal unit root tests, than about the existence of seasonal unit roots.
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Levendis, J.D. (2018). Seasonal ARMA(p,q) Processes. In: Time Series Econometrics. Springer Texts in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-319-98282-3_6
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