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st: multiplicative seasonality


From   "Shao, Ling" <LSHAO1@bcc.cba.ua.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: multiplicative seasonality
Date   Tue, 17 Jun 2003 21:22:31 -0500

Hello,

I wonder if there is any way to estimate the following two time-series models, both of which deal with seasonality multiplicatively rather than additively.

Model 1: Multiplicative Autoregressive  dt = a0 + (1+a1L)(1+a4L4)dt-1 + εt
Model 2: Multiplicative Moving Average  dt = a0 + (1+β1L)(1+ β4L4)εt          where  L  is the lag operator

Thank you,

Ling Shao





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