Chapter 1 Introduction

In this book, I will summarize everything that I know about time series analysis.

1.1 Ferien & “Special Events” Charakteristiken

Many time series are characterized by holidays, as well as other special events. The following characteristics can be observed, when you are faced with those types of regressors:

  • They provide large, somewhat predictable shocks.
  • Oftentimes, they do not follow a periodic pattern. For instance, Thanksgiving in the United States occurs on the fourth Thursday in November.
  • Because of this irregular pattern of occurence (non-periodic), it is difficult to implement a function that is able to declare these events.
  • Typically, the impact of a particular holiday on the time series is often similar, year after year.