Interview Question: Seasons’ Curse

Sample Question #247 (econometrics)
 
In macroeconomic modeling researchers are always concerned with seasonality. How do you account for seasonality in an OLS framework?
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2 Responses to Interview Question: Seasons’ Curse

  1. Brett says:

    ANSWER
     
    There are several ways, such as de-seasonalizing all the variables first or adding dummy variables to control for the season. Can you think of other methods?
     

  2. Gong says:

    How about introducing terms with seasonality, for example a linear combination of sin(T-t), cos(T-t), ridiculously, you can even introduce fourier transform to discover the seasonality in a rigorous fashion.

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