Modelling Seasonality

This volume brings together leading papers on the existing standard economic theory of seasonality as well as papers which apply newer statistical tools to the modelling of seasonal phenomena. It includes a discussion of the X-11 method of seasonal adjustment, as well as an assessment of recent developments in the field. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.

Introduction	p. 1
General Introduction	p. 11
The Historical Perspective	p. 22
Seasonal Adjustment and Relations between Variables	p. 27
Seasonality in Regression Christopher A. Sims	p. 61
Issues Involved with the Seasonal Adjustment of Economic Time Series	p. 83
Fragments of an Economic Theory of Seasonality	p. 139
Analysis of Port Pricing of Halibut: Theoretical Considerations and Empirical Results	p. 145
A Study toward a Dynamic Theory of Seasonality for Economic Time Series	p. 181
Conclusion	p. 188
Seasonality and Habit Persistence in a Life Cycle Model of Consumption	p. 193
Instrumental Variable Estimation Results	p. 205
Data	p. 205
Seasonality, Cost Shocks, and the Production Smoothing Model of Inventories	p. 210
Seasonal Adjustment Procedures	p. 247
The X-11 Method	p. 256
Unobserved-Components Models for Seasonal Adjustment Filters	p. 259
Model-Based Procedures	p. 283
Introduction	p. 288
Estimating Structural Models of Seasonality	p. 291
An Arima-Model-Based Approach to Seasonal Adjustment	p. 321
Forecasting Economic Time Series with Structural and Box--Jenkins Models: a Case Study	p. 341
A Prototypical Seasonal Adjustment Model	p. 359
Seasonal Adjustment and Kalman Filtering: Extension to Periodic Variances	p. 379
Seasonal Integration and Cointegration	p. 391
Testing for Unit Roots in Seasonal Time Series	p. 399
Seasonal Integration and Cointegration	p. 425
Seasonality and the Order of Integration for Consumption	p. 449
Simulations	p. 464
Index of Names	p. 467
Index of Subjects	p. 473
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Modelling Seasonality

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