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The modeling of time series data that include calendar variation is considered. Autocorrelation, trends, and seasonality are modeled by ARIMA models. Trading day variation and Easter holiday variation are modeled by regression-type models. The overall model is a sum of ARIMA and regression models. Methods of identification, estimation, inference, and diagnostic checking are discussed. The ideas are illustrated through actual examples.
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Bell et al. (1983) studied this question.
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