Regression Analysis of Seasonal Data
季节性数据的回归分析
When economists apply regression to monthly or quarterly data to estimate structural parameters, they generally either (a) use seasonally adjusted data or (b) use unadjusted data and allow for seasonal shifts in the intercept term. Starting from a more general model than either of these procedures, this paper spells out their implicit assumptions and derives expressions for the specification bias arising from incorrect assumptions. The expected values of the estimates in (a)…