Hi list,


I would like to estimate and forecast the seasonal component of a series. My
model which uses daily data would be something y t = alpha + beta x SeasComp
t + gamma x OtherRegressors t.

One approach to this would be use quarterly dummies, another to use a sine
function. The first would cause a step change when we move from a season to
another;  the latter impose too much regularity in my data, i.e. symmetry
around y-axis and x-axis.

I  have looked at decompose and stl but could  not find a way to forecast
the seasonal component. They don’t allow for they presence of other
regressors either. Can someone let me know the best way for me to proceed
with this?
Thanks in advance
Paolo

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