ABSTRACT
The investigations of time series and seasonal adjustment methods have their origins in the nineteenth century. The idea that a time series is made up of both observed and unobserved components was known in scientific fields, such as astronomy and meteorology. One of the most important works in the field was done by Persons in 1919. Persons' method is known as the link-relative method, which isolated the components by utilizing de-trended and seasonally adjusted data to construct business indices. Until the late 1960s, there was no synthesis between econometric analysis and time series analysis, though famous works such as that of Cochrane-Orcutt (CO) and afterwards of Prais-Winsten (PW) had already been introduced in the econometric framework of time series regression. However, this situation changed dramatically with publication of the volume by Box and Jenkins in 1970. The BJ approach is based on autoregressive-integrated moving average (ARIMA) processes.
