Seasonal heteroscedasticity and trends

Seasonal heteroscedasticity and trends

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Article ID: iaor19993246
Country: United Kingdom
Volume: 17
Issue: 1
Start Page Number: 1
End Page Number: 17
Publication Date: Jan 1998
Journal: International Journal of Forecasting
Authors:
Keywords: seasonality
Abstract:

This paper discusses the possibility of accommodating features such as seasonal heteroscedasticity and trends in a seasonal model. The former takes place when one or more seasonal effects are more variable than others and it is quite pervasive in hydrology, although interesting examples are found in economics, where it has recently been shown to characterize the output of the manufacturing series; seasonal trends occur when the seasonal effect shows a systematic tendency to increase or decrease its amplitude over the years. We consider different models of seasonality available in the literature and we argue that the Harrison and Stevens seasonal model enhances the flexibility that is necessary to capture effects associated with particular seasons. The resulting seasonally heteroscedastic model provides an explanation for the periodicity in the series alternative to that provided by the literature on periodic integration.

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