Time Series Modelling of Daily Tax Revenues

We provide a detailed discussion of the time series modelling of daily tax revenues. The mainfeature of daily tax revenue series is the pattern within calendar months. Standard seasonal timeseries techniques cannot be used since the number of banking days per calendar month varies andbecause there are two levels of seasonality: between months and within months.We start the analysis with a periodic regression model with time varying parameters.This modelis then extended with a component for intra-month seasonality, which is specified as a stochasticcubic spline. State space techniques are used... Mehr ...