메뉴 건너뛰기




Volumn 10, Issue 3, 1996, Pages 299-345

Recent advances in modelling seasonality

Author keywords

Periodic integration cointegration; Seasonality; Unit roots

Indexed keywords


EID: 9144241857     PISSN: 09500804     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-6419.1996.tb00015.x     Document Type: Article
Times cited : (47)

References (95)
  • 1
    • 38149143560 scopus 로고
    • Deterministic Seasonal Models and Spurious Regressions
    • Abeysinghe, T. (1994), Deterministic Seasonal Models and Spurious Regressions, Journal of Econometrics, 61, 259-272.
    • (1994) Journal of Econometrics , vol.61 , pp. 259-272
    • Abeysinghe, T.1
  • 3
    • 84935412538 scopus 로고
    • The Seasonal Cycle and the Business Cycle
    • Barsky, R. B. and J. A. Miron (1989), The Seasonal Cycle and the Business Cycle, Journal of Political Economy, 97, 503-535.
    • (1989) Journal of Political Economy , vol.97 , pp. 503-535
    • Barsky, R.B.1    Miron, J.A.2
  • 4
    • 84960581316 scopus 로고
    • Why Do Countries and Industries with Large Seasonal Cycles Also Have Large Business Cycles?
    • Beaulieu, J. J., J. K. MacKie-Mason and J. A. Miron (1992), Why Do Countries and Industries with Large Seasonal Cycles Also Have Large Business Cycles?, Quarterly Journal of Economics, 107, 621-656.
    • (1992) Quarterly Journal of Economics , vol.107 , pp. 621-656
    • Beaulieu, J.J.1    MacKie-Mason, J.K.2    Miron, J.A.3
  • 5
    • 0010160457 scopus 로고
    • Seasonal Unit Roots in Aggregate U.S. Data
    • Beaulieu, J. J. and J. A. Miron (1993), Seasonal Unit Roots in Aggregate U.S. Data, Journal of Econometrics, 55, 305-328.
    • (1993) Journal of Econometrics , vol.55 , pp. 305-328
    • Beaulieu, J.J.1    Miron, J.A.2
  • 7
    • 84936947492 scopus 로고
    • Issues Involved with the Seasonal Adjustment of Economic Time Series
    • Bell, W. R. and S. C. Hillmer (1984), Issues Involved with the Seasonal Adjustment of Economic Time Series (with comments), Journal of Business and Economic Statistics, 2, 291-320.
    • (1984) Journal of Business and Economic Statistics , vol.2 , pp. 291-320
    • Bell, W.R.1    Hillmer, S.C.2
  • 11
    • 84979419357 scopus 로고
    • Forecasting time series with increasing seasonal variation
    • Bowerman, B. L., Koehler, A. B. and D. J. Pack (1990), Forecasting time series with increasing seasonal variation, Journal of Forecasting, 9, 419-436.
    • (1990) Journal of Forecasting , vol.9 , pp. 419-436
    • Bowerman, B.L.1    Koehler, A.B.2    Pack, D.J.3
  • 15
    • 84953063700 scopus 로고
    • Are Seasonal Patterns Constant over Time?, A Test for Seasonal Stability
    • Canova, F. and B.E. Hansen (1995), Are Seasonal Patterns Constant over Time?, A Test for Seasonal Stability, Journal of Business and Economic Statistics, 13, 237-252.
    • (1995) Journal of Business and Economic Statistics , vol.13 , pp. 237-252
    • Canova, F.1    Hansen, B.E.2
  • 18
    • 84952491884 scopus 로고
    • Unit Roots in Time Series Models: Tests and Implications
    • Dickey, D. A., W. R. Bell and R. B. Miller (1986), Unit Roots in Time Series Models: Tests and Implications, American Statistician, 40, 12-26.
    • (1986) American Statistician , vol.40 , pp. 12-26
    • Dickey, D.A.1    Bell, W.R.2    Miller, R.B.3
  • 19
    • 85036258669 scopus 로고
    • Distribution of the Estimators for Autoregressive Time Series with a Unit Root
    • Dickey. D. A. and W. A. Fuller (1979), Distribution of the Estimators for Autoregressive Time Series With a Unit Root, Journal of the American Statistical Association, 74, 427-431.
    • (1979) Journal of the American Statistical Association , vol.74 , pp. 427-431
    • Dickey, D.A.1    Fuller, W.A.2
  • 22
    • 0000013567 scopus 로고
    • Co-integration and Error Correction: Representation, Estimation, and Testing
    • Engle, R. F. and C. W. J. Granger (1987), Co-integration and Error Correction: Representation, Estimation, and Testing, Econometrica, 55, 251-276.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 25
    • 84960581251 scopus 로고
    • Seasonal Fluctuations and the Demand for Money
    • Faig, M. (1989), Seasonal Fluctuations and the Demand for Money, Quarterly Journal of Economics, 99, 847-861.
    • (1989) Quarterly Journal of Economics , vol.99 , pp. 847-861
    • Faig, M.1
  • 27
    • 0000962885 scopus 로고
    • Seasonality, Nonstationarity and the Forecasting of Monthly Time Series
    • Franses, P. H. (1991), Seasonality, Nonstationarity and the Forecasting of Monthly Time Series, International Journal of Forecasting, 7, 199-203.
    • (1991) International Journal of Forecasting , vol.7 , pp. 199-203
    • Franses, P.H.1
  • 28
    • 84979381846 scopus 로고
    • Periodically Integrated Subset Autoregressions for Dutch Industrial Production and Money Stock
    • Franses, P. H. (1993), Periodically Integrated Subset Autoregressions for Dutch Industrial Production and Money Stock, Journal of Forecasting, 12. 601-613.
    • (1993) Journal of Forecasting , vol.12 , pp. 601-613
    • Franses, P.H.1
  • 29
    • 25144490655 scopus 로고
    • A Multivariate Approach to Modeling Univariate Seasonal Time Series
    • Franses, P. H. (1994), A Multivariate Approach to Modeling Univariate Seasonal Time Series. Journal of Econometrics, 63, 133-151.
    • (1994) Journal of Econometrics , vol.63 , pp. 133-151
    • Franses, P.H.1
  • 30
    • 0345165914 scopus 로고
    • A Vector of Quarters Representation for Bivariate Time Series
    • Franses, P. H. (1995), A Vector of Quarters Representation for Bivariate Time Series, Econometric Reviews, 14, 55-63.
    • (1995) Econometric Reviews , vol.14 , pp. 55-63
    • Franses, P.H.1
  • 36
    • 84950427566 scopus 로고
    • A Study Towards a Dynamic Theory of Seasonality for Economic Time Series
    • Ghysels, E. (1988), A Study Towards a Dynamic Theory of Seasonality for Economic Time Series, Journal of the American Statistical Association, 83, 168-172.
    • (1988) Journal of the American Statistical Association , vol.83 , pp. 168-172
    • Ghysels, E.1
  • 38
    • 0001498824 scopus 로고
    • On the Economics and Econometrics of Seasonality
    • C. A. Sims (ed.) Cambridge UK: Cambridge University Press 1994
    • Ghysels, E. (1994a), On the Economics and Econometrics of Seasonality, in C. A. Sims (ed.) Advances in Econometrics, Sixth World Congress of the Econometric Society, Cambridge UK: Cambridge University Press 1994.
    • (1994) Advances in Econometrics, Sixth World Congress of the Econometric Society
    • Ghysels, E.1
  • 42
    • 38149147786 scopus 로고
    • Testing for Unit Roots in Seasonal Time Series
    • Ghysels, E., H. S. Lee and J. Noh (1994), Testing for Unit Roots in Seasonal Time Series, Journal of Econometrics, 62, 415-442.
    • (1994) Journal of Econometrics , vol.62 , pp. 415-442
    • Ghysels, E.1    Lee, H.S.2    Noh, J.3
  • 43
    • 38249030970 scopus 로고
    • Seasonality in Surveys. A Comparison of Belgian, French and German Business Tests
    • Ghysels, E. and M. Nerlove (1988), Seasonality in Surveys. A Comparison of Belgian, French and German Business Tests, European Economic Review, 32, 81-99.
    • (1988) European Economic Review , vol.32 , pp. 81-99
    • Ghysels, E.1    Nerlove, M.2
  • 44
    • 0002340768 scopus 로고
    • The Effect of Seasonal Adjustment Filters on Tests for a Unit Root
    • Ghysels, E. and P. Perron (1993), The Effect of Seasonal Adjustment Filters on Tests for a Unit Root, Journal of Econometrics, 55, 57-98.
    • (1993) Journal of Econometrics , vol.55 , pp. 57-98
    • Ghysels, E.1    Perron, P.2
  • 45
    • 84981435684 scopus 로고
    • Nonlinear Transformations of Integrated Time Series
    • Granger, C. W. J. and J. Hallman (1991), Nonlinear Transformations of Integrated Time Series, Journal of Time Series Analysis, 12, 207-224.
    • (1991) Journal of Time Series Analysis , vol.12 , pp. 207-224
    • Granger, C.W.J.1    Hallman, J.2
  • 47
    • 0000602855 scopus 로고
    • Some Properties of Optimal Seasonal Adjustment
    • Grether, D. M. and M. Nerlove (1970), Some Properties of Optimal Seasonal Adjustment, Econometrica, 38, 682-703.
    • (1970) Econometrica , vol.38 , pp. 682-703
    • Grether, D.M.1    Nerlove, M.2
  • 48
    • 0002821574 scopus 로고
    • Testing for a Unit Root in the Presence of Moving Average Errors
    • Hall, A. (1989), Testing for a Unit Root in the Presence of Moving Average Errors, Biometrika, 79, 49-56.
    • (1989) Biometrika , vol.79 , pp. 49-56
    • Hall, A.1
  • 49
    • 0001920287 scopus 로고
    • Seasonality and Approximation Errors in Rational Expectations Models
    • Hansen, L. P. and T. J. Sargent (1993), Seasonality and Approximation Errors in Rational Expectations Models, Journal of Econometrics, 55, 21-56.
    • (1993) Journal of Econometrics , vol.55 , pp. 21-56
    • Hansen, L.P.1    Sargent, T.J.2
  • 50
    • 84984456143 scopus 로고
    • A Unified View of Statistical Forecasting Procedures
    • Harvey, A. C. (1984), A Unified View of Statistical Forecasting Procedures, Journal of Forecasting, 3, 245-275.
    • (1984) Journal of Forecasting , vol.3 , pp. 245-275
    • Harvey, A.C.1
  • 51
    • 0001003525 scopus 로고
    • Seasonality in Dynamic Regression Models
    • Harvey, A. C. and A. Scott (1994), Seasonality in Dynamic Regression Models, Economic Journal, 104, 1324-1345.
    • (1994) Economic Journal , vol.104 , pp. 1324-1345
    • Harvey, A.C.1    Scott, A.2
  • 55
    • 9144264681 scopus 로고
    • Tests for Seasonal Unit Roots: General to Specific of Specific to General?
    • to appear
    • Hylleberg, S. (1995), Tests for Seasonal Unit Roots: General to Specific of Specific to General?, Journal of Econometrics, to appear.
    • (1995) Journal of Econometrics
    • Hylleberg, S.1
  • 56
    • 0002990662 scopus 로고
    • Modelling Seasonal Variation
    • Hargreaves, C. P. (ed.), Oxford: Oxford University Press, 1994
    • Hylleberg, S. (1994), Modelling Seasonal Variation, in Hargreaves, C. P. (ed.), Nonstationary Time Series Analysis and Cointegration, Oxford: Oxford University Press, 1994.
    • (1994) Nonstationary Time Series Analysis and Cointegration
    • Hylleberg, S.1
  • 62
    • 0000158117 scopus 로고
    • Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
    • Johansen, S. (1991), Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica, 59, 1551-1580.
    • (1991) Econometrica , vol.59 , pp. 1551-1580
    • Johansen, S.1
  • 63
    • 38249006347 scopus 로고
    • Induced Seasonality and Production-Smoothing Models of Inventory Behavior
    • Krane, S. D. (1993), Induced Seasonality and Production-Smoothing Models of Inventory Behavior, Journal of Econometrics, 55, 135-168.
    • (1993) Journal of Econometrics , vol.55 , pp. 135-168
    • Krane, S.D.1
  • 64
    • 21144473470 scopus 로고
    • Seasonal Cointegration in Macroeconomic Systems: Case Studies for Small and Large European Countries
    • Kunst, R. M. (1993), Seasonal Cointegration in Macroeconomic Systems: Case Studies for Small and Large European Countries, Review of Economics and Statistics, 75, 325-330.
    • (1993) Review of Economics and Statistics , vol.75 , pp. 325-330
    • Kunst, R.M.1
  • 65
    • 38249009343 scopus 로고
    • Maximum Likelihood Inference on Cointegration and Seasonal Cointegration
    • Lee, H. S. (1992), Maximum Likelihood Inference on Cointegration and Seasonal Cointegration, Journal of Econometrics, 54, 351-365.
    • (1992) Journal of Econometrics , vol.54 , pp. 351-365
    • Lee, H.S.1
  • 68
    • 0002378331 scopus 로고
    • Critical Values for Cointegration Tests
    • Engle R. F and C. W. J. Granger (eds.). Oxford: Oxford University Press
    • MacKinnon, J. C. (1991), Critical Values for Cointegration Tests, in Engle R. F and C. W. J. Granger (eds.). Long-run Relationships: Readings in Cointegration, Oxford: Oxford University Press.
    • (1991) Long-run Relationships: Readings in Cointegration
    • MacKinnon, J.C.1
  • 69
    • 0001829609 scopus 로고
    • Unobserved Components in Economic Time Series
    • to appear
    • Maravall, A. (1995), Unobserved Components in Economic Time Series, Handbook of Applied Econometics, to appear.
    • (1995) Handbook of Applied Econometics
    • Maravall, A.1
  • 70
    • 21344479285 scopus 로고
    • Parsimony, Model Adequacy and Periodic Correlation in Time Series Forecasting
    • Mcleod, A. I. (1993), Parsimony, Model Adequacy and Periodic Correlation in Time Series Forecasting, International Statistical Review, 61, 387-393.
    • (1993) International Statistical Review , vol.61 , pp. 387-393
    • Mcleod, A.I.1
  • 72
    • 0005672195 scopus 로고
    • Modelling the Seasonal Patterns in UK Macroeconomic Time Series
    • Mills, T. C. and A. G. Mills (1992), Modelling the Seasonal Patterns in UK Macroeconomic Time Series, Journal of the Royal Statistical Society A, 155, 61-75.
    • (1992) Journal of the Royal Statistical Society A , vol.155 , pp. 61-75
    • Mills, T.C.1    Mills, A.G.2
  • 73
    • 84936377469 scopus 로고
    • Seasonal Fluctuations and the Life Cycle-Permanent Income Model of Consumption
    • Miron, J. A. (1986), Seasonal Fluctuations and the Life Cycle-Permanent Income Model of Consumption, Journal of Political Economy, 94, 1258-1279.
    • (1986) Journal of Political Economy , vol.94 , pp. 1258-1279
    • Miron, J.A.1
  • 75
    • 0001184994 scopus 로고
    • Seasonality, Cost Shocks, and the Production Smoothing Model of Inventories
    • Miron, J. A. and S. P. Zeldes (1988), Seasonality, Cost Shocks, and the Production Smoothing Model of Inventories, Econometrica, 56, 877-908.
    • (1988) Econometrica , vol.56 , pp. 877-908
    • Miron, J.A.1    Zeldes, S.P.2
  • 77
    • 84986409273 scopus 로고
    • Seasonality and Habit Persistence in a Life-Cycle Model of Consumption
    • Osborn, D. R. (1988), Seasonality and Habit Persistence in a Life-Cycle Model of Consumption, Journal of Applied Econometrics, 3, 255-266.
    • (1988) Journal of Applied Econometrics , vol.3 , pp. 255-266
    • Osborn, D.R.1
  • 78
    • 38249016766 scopus 로고
    • A Survey of Seasonality in 'UK Macroeconomic Variables
    • Osborn. D. R. (1990), A Survey of Seasonality in 'UK Macroeconomic Variables, International Journal of Forecasting, 6, 327-336.
    • (1990) International Journal of Forecasting , vol.6 , pp. 327-336
    • Osborn, D.R.1
  • 79
    • 44949279807 scopus 로고
    • The Implications of Periodically Varying Coefficients for Seasonal Time-Series Processes
    • Osborn. D. R. (1991), The Implications of Periodically Varying Coefficients for Seasonal Time-Series Processes, Journal of Econometrics, 48, 373-384.
    • (1991) Journal of Econometrics , vol.48 , pp. 373-384
    • Osborn, D.R.1
  • 81
    • 38249018450 scopus 로고
    • Seasonal Unit Root Tests on Canadian Macroeconomic Time Series
    • Otto, G. and T. Wirjanto (1990), Seasonal Unit Root Tests on Canadian Macroeconomic Time Series, Economics Letters, 34, 117-120.
    • (1990) Economics Letters , vol.34 , pp. 117-120
    • Otto, G.1    Wirjanto, T.2
  • 82
    • 0000056141 scopus 로고
    • On Periodic and Multiple Autoregressions
    • Pagano, M. (1978), On Periodic and Multiple Autoregressions, Annals of Statistics, 6, 1310-1317.
    • (1978) Annals of Statistics , vol.6 , pp. 1310-1317
    • Pagano, M.1
  • 83
    • 0000899296 scopus 로고
    • The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
    • Perron, P. (1989), The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis, Econometrica, 57, 1361-1401.
    • (1989) Econometrica , vol.57 , pp. 1361-1401
    • Perron, P.1
  • 84
    • 84948500109 scopus 로고
    • Testing for a Unit Root in a Time Series with a Changing Mean
    • Perron, P. (1990), Testing for a Unit Root in a Time Series with a Changing Mean, Journal of Business and Economic Statistics, 8, 153-162.
    • (1990) Journal of Business and Economic Statistics , vol.8 , pp. 153-162
    • Perron, P.1
  • 85
    • 0000542970 scopus 로고
    • Estimation of a Non-invertible Moving Average Process. The Case of Overdifferencing
    • Plosser, C. I. and G. W. Schwert (1977), Estimation of a Non-invertible Moving Average Process. The Case of Overdifferencing, Journal of Econometrics, 6, 199-224.
    • (1977) Journal of Econometrics , vol.6 , pp. 199-224
    • Plosser, C.I.1    Schwert, G.W.2
  • 89
    • 77956888888 scopus 로고
    • Hidden Periodic Autoregressive-Moving Average Models in Time Series Data
    • Tiao, G. C. and M. R. Grupe (1980), Hidden Periodic Autoregressive-Moving Average Models in Time Series Data, Biometrika, 67, 365-373.
    • (1980) Biometrika , vol.67 , pp. 365-373
    • Tiao, G.C.1    Grupe, M.R.2
  • 90
    • 0010844604 scopus 로고
    • Periodic Linear-Quadratic Methods for Modeling Seasonality
    • Todd, R. (1990), Periodic Linear-Quadratic Methods for Modeling Seasonality, Journal of Economic Dynamics and Control, 14, 763-795.
    • (1990) Journal of Economic Dynamics and Control , vol.14 , pp. 763-795
    • Todd, R.1
  • 91
    • 0018759979 scopus 로고
    • Some Results in Periodic Autoregression
    • Troutman, B. M. (1979), Some Results in Periodic Autoregression, Biometrika, 66, 219-228.
    • (1979) Biometrika , vol.66 , pp. 219-228
    • Troutman, B.M.1
  • 93
    • 0004328179 scopus 로고
    • Testing for Periodic Autocorrelations in Seasonal Time Series Data
    • Vecchia, R. L. and R. Ballerini (1991), Testing for Periodic Autocorrelations in Seasonal Time Series Data, Biometrika, 78, 53-63.
    • (1991) Biometrika , vol.78 , pp. 53-63
    • Vecchia, R.L.1    Ballerini, R.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.