Abstract
Abstract. Many economic time series are affected by the moving dates of festivals. In this paper a moving festival effect is defined and incorporated into a dynamic linear model which specifies how the parameters of several unobservable components of a time series evolve stochastically in time. The merits of this approach in comparison to other approaches are discussed and demonstrated using empirical data of three selected time series.
Original language | English |
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Pages (from-to) | 255-268 |
Number of pages | 14 |
Journal | Journal of Time Series Analysis |
Volume | 5 |
Issue number | 4 |
DOIs | |
State | Published - Jul 1984 |
Keywords
- decomposition models
- Dynamic linear models
- Kalman filter
- moving festival effects