Seasonal Analysis of Economic Time Series
Seasonal Analysis of Economic Time Series
Abstract
Given a basic stochastic seasonal time series model, developed by Box and Jenkins, the corresponding model for temporal aggregates is derived. Insofar as forecasting future aggregatres is concerned, the loss in information due to aggregation is substantial if the nonseasonal component of the model is nonstationary. This is not so serious for long-term forecasting, especially when the nonseasonal component is stationary.
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Page Last Revised - February 11, 2025