caa a22 4500 378929739 CHVBK 20180305123626.0 cr unu---uuuuu 161128e20040518xx s 000 0 eng 10.2202/1558-3708.1205 doi (NATIONALLICENCE)gruyter-10.2202/1558-3708.1205 Proietti Tommaso 1University of Udine, Italy, tommaso.proietti@uniroma2.it Seasonal Specific Structural Time Series [Elektronische Daten] [Tommaso Proietti] The paper introduces the class of seasonal specific structural time series models, according to which each season follows specific dynamics, but is also tied to the others by a common random effect. Seasonal specific models are dynamic variance components models that account for some kind of periodic behaviour, such as periodic heteroscedasticity, and are also tailored to deal with situations such that one or a group of seasons behave differently. Trends and non periodic features can still be extracted and their nature is discussed. Multivariate extensions entertain the case when cointegration pertains only to groups of seasons. It is finally shown that a circular correlation pattern for the idiosyncratic disturbances yields a periodic component that is isomorphic to a trigonometric seasonal com- ponent. ©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston Studies in Nonlinear Dynamics & Econometrics De Gruyter 8/2(2004-05-18) 8:2 2004 8 snde https://doi.org/10.2202/1558-3708.1205 text/html Onlinezugriff via DOI 1 research article jats NATIONALLICENCE 856 40 https://doi.org/10.2202/1558-3708.1205 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Proietti Tommaso 1University of Udine, Italy, tommaso.proietti@uniroma2.it NATIONALLICENCE 773 0- Studies in Nonlinear Dynamics & Econometrics De Gruyter 8/2(2004-05-18) 8:2 2004 8 snde CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-gruyter