A Time Series Analysis of Seasonality in …（季节性时间序列分析的u2026）.pdfVIP

This PDF is a selection from an out-of-print volume from the National Bureau of Economic Research Volume Title: Seasonal Analysis of Economic Time Series Volume Author/Editor: Arnold Zellner, ed. Volume Publisher: NBER Volume URL: /books/zell79-1 Publication Date: 1979 Chapter Title: A Time Series Analysis of Seasonality in Econometric Models Chapter Author: Charles I. Plosser Chapter URL: /chapters/c3906 Chapter pages in book: (p. 365 - 410) r A TIME SERIES ANALYSIS OF SEASONALITY IN ECONOMETRIC MODELS Charles 1. Plosser Stanford University INTRODUCFJON labor markets is not independent of the labor demanded in agricultural labor markets. Consequently, knowledge of The traditional literature on seasonality has mainly the economic structure can provide one with a great deal focused attention on various statistical procedures for of understanding about the seasonal variation of different obtaining a seasonally adjusted time series from an ob- variables, such as where it comes from and what might served time series that exhibits seasonal variation. Many cause it to vary through time. of these procedures rely on the notion that an observed The purpose of this paper is to suggest and investigate time series can be meaningfully divided into several an approach that involves the incorporation of seasonality unobserved components. Usually, these components are directly into an economic model.2 Analyzing the problem taken to be a trend or cyclical component, a seasonal from this perspective two impor