Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/189080 
Year of Publication: 
1977
Series/Report no.: 
Queen's Economics Department Working Paper No. 257
Publisher: 
Queen's University, Department of Economics, Kingston (Ontario)
Abstract: 
This article argues that conventional approaches to the treatment of seasonality in econometric investigation are often inappropriate. A more appropriate technique is to allow all regression coefficients to vary with the season, but to constrain them to do so in a smooth fashion. A Bayesian method of estimating smoothly varying seasonal coefficients is developed, based on Shiller's (1973) approach to estimating distributed lags. In a sampling experiment, this technique outperforms ordinary least squares by a substantial margin. An application of this technique to the estimation of the demand for soft drinks is also presented.
Subjects: 
seasonality
smoothness prior
distributed lag
mixed estimation
soft drinks
JEL: 
C10
C11
C13
Document Type: 
Working Paper

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