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.

Additional Files

Seasonal Adjustment of Sensitive Indicators [<1.0 MB]

Seasonality: Causation, Interpretation, and Implications [2.4 MB]

A Survey and Comparative Analysis of Various Methods of Seasonal Adjustment [2.0 MB]

The Analysis of Single and Related Time Series into Components: Proposals for Improving X-11 [4.9 MB]

Seasonal Adjustment When the Seasonal Component Behaves Neither Purely Multiplicatively nor Purely Additively [1.6 MB]

SABL: A Resistant Seasonal Adjustment Procedure With Graphical Methods for Interpretation and Diagnosis [2.1 MB]

Seasonal Adjustment When Both Deterministic and Stochastic Seasonality Are Present [2.4 MB]

Estimating Structural Models of Seasonality [1.9 MB]

Analysis and Modeling of Seasonal Time Series [2.5 MB]

Seasonal Adjustment and Multiple Time Series Analysis [1.7 MB]

A Time Series Analysis of Seasonality in Econometric Models [2.2 MB]

The Temporal and Sectoral Aggregation of Seasonally Adjusted Time Series [1.6 MB]

Some Consequences of Temporal Aggregation in Seasonal Time Series Models [1.7 MB]

Retrospect and Prospect [<1.0 MB]

Others in Series

Working Paper

Estimating Trading-Day Variation in Monthly Economic Time Series

1965

An important source of the month-to-month variation in many monthly economic time series is trading-day variation.

Working Paper

Applied Time Series Analysis of Economic Data

1983

Work leading to currently used methods of seasonal adjustment began with the link-relative method of Persons (1919).

Working Paper

Ambiguities Associated with the Fitting of ARMA Models to Time Series

1984

Examples are presented illustrating some ambiguities associated with the application of ARMA models.

View All

Related Information

Time Series and Seasonal Adjustment Working Papers

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