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

Record type: Article

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.

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Citation

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).

More information

Published date: July 1995

Identifiers

Local EPrints ID: 32932
URI: http://eprints.soton.ac.uk/id/eprint/32932
ISSN: 0735-0015
PURE UUID: 7867ef03-7fe7-475e-b900-d17ed13c7bee

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Date deposited: 08 Jan 2008
Last modified: 17 Jul 2017 15:54

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Contributors

Author: F. Canova
Author: B.E. Hansen

University divisions


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