Note—Analysis of Time Series with Calendar Effects
通过理论研究和实际案例，展示日历干预如何影响样本自相关，并讨论受日历干预的时间序列的模型估计，对处理月度经济数据中因农历节日日期变动导致的数据波动有参考价值。
Most national economic data and many marketing series are compiled monthly according to the Gregorian Calendar, but some of the ancient festivals or holidays, such as Easter, Jewish Passover, and Chinese New Year, are set by lunar calendar. Therefore the date of a holiday may vary between two adjacent months from year to year. Some product marketing and consumer behavior patterns are closely related to such holidays; the amount of monthly sales may change as the date of the holiday changes from one month to the other. This paper shows how calendar intervention influences the sample autocorrelation, both by a theoretical study and an actual example. Model estimation for a time series subject to calendar intervention is also discussed.