There has been a resurgence of interest in seasonality within economics in the past decade. Since the book by Hylleberg (1986) titled Seasonality in Regression, many developments have taken place. Some of these developments are covered in recent books by Franses (1996b) and Miron (1996). The former specializes on the subject of so-called periodic models, whereas the latter emphasizes economic aspects of seasonality. Also, surveys have been written by Franses (1996a), Ghysels (1994a), and Miron (1994), special issues of journals on the subject have been published by De Gooijer and Franses (1997) and Ghysels (1993), and a book of readings has been published by Hylleberg (1992).

The focus of this book is in some ways close to that of Hylleberg (1986), who gave a comprehensive description of the then-current state of the art. Our coverage will be more selective, however, as we mostly concentrate on the econometric developments of the past decade. Consequently, we will not discuss in detail subjects such as “The History of Seasonality,” covered by Hylleberg (1986, Chapter 1) and Nerlove, Grether, and Carvalho (1995), or “The Definition of Seasonality,” as in Hylleberg (1986, Chapter 2). Nor will we deal, at least directly, with the longstanding debate about the merits and pitfalls of seasonally adjusting series. It should also be made clear that this book focuses on theoretical developments and hence does not have the pretention to be empirical. It is not our purpose to analyze real data, beyond the presentation of some series that illustrate different types of seasonality.