Are seasonal patterns constant over time? A test for seasonal stability


Canova, F. and Hansen, B.E. (1995) Are seasonal patterns constant over time? A test for seasonal stability Journal of Business and Economic Statistics, 13, (3), pp. 237-252. (doi:10.2307/1392184).

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Description/Abstract

This paper introduces Lagrange multiplier tests of the null hypothesis of no unit roots at seasonal frequencies against the alternative of a unit root at either a single seasonal frequency or a set of seasonal frequencies. The tests complement those of D. Dickey, D. Hasza, and W. Fuller (1984) and S. Hylleberg, et al. (1990), which examine the null of seasonal unit roots. The authors derive an asymptotic distribution theory for the tests and investigate their size and power with a Monte Carlo exercise. Application of three sets of seasonal variables shows that, in most cases, seasonality is nonstationary.

Item Type: Article
Digital Object Identifier (DOI): doi:10.2307/1392184
ISSNs: 0735-0015 (print)
Subjects:
ePrint ID: 32932
Date :
Date Event
July 1995Published
Date Deposited: 08 Jan 2008
Last Modified: 16 Apr 2017 22:18
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/32932

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