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Note on inappropriate trend and seasonal elimination. (English) Zbl 0616.62118

Behaviour of time series is investigated in two simple cases when one has used an inappropriate method for elimination of trend or seasonality: (i) differencing in a simple polynomial model and (ii) regression in a simple seasonal model of G. E. P. Box and G. M. Jenkins [Time series analysis, forecasting and control. (1970; Zbl 0249.62009)]. It can imply distorting consequences for the further analysis of the time series.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J05 Linear regression; mixed models

Citations:

Zbl 0249.62009
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