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Keywords:

  • Seasonality;
  • Unit roots;
  • Periodic integration/cointegration

Abstract. In this paper we review recent developments in econometric modelling of economic time series with seasonality. The prime focus is on econometric models which incorporate explicit descriptions of seasonal variation, instead of removing this variation using a seasonal adjustment method. This review centres around developments in seasonal unit root models and in periodic parameter models, both in the univariate and multivariate context. Several empirical examples are used for illustration. We also discuss several areas for further research.