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Changes in seasonal patterns: are they cyclical?

Changes in seasonal patterns: are they cyclical?
Changes in seasonal patterns: are they cyclical?
This paper explores the hypothesis that the seasonal patterns of macroeconomic variables vary with expansions and contractions. Graphical techniques and generalized predictive tests for structural stability are used to identify and test patterns of changing seasonality. A Monte Carlo exercise shows the power of the tests against interesting alternatives. The empirical results suggest that seasonal patterns are unstable and that in many cases changes are linked to the stages of the business cycle. The forecasting costs incurred by treating seasonality as constant are discussed and evaluated.
seasonality, business cycles, structural stability
0165-1889
1143-1171
Canova, Fabio
d700bd9a-5f63-4782-9eda-64c5b8fe2dc5
Ghysels, Eric
51520bc0-cf76-47bf-a704-99ad4da6db1e
Canova, Fabio
d700bd9a-5f63-4782-9eda-64c5b8fe2dc5
Ghysels, Eric
51520bc0-cf76-47bf-a704-99ad4da6db1e

Canova, Fabio and Ghysels, Eric (1994) Changes in seasonal patterns: are they cyclical? Journal of Economic Dynamics and Control, 18 (6), 1143-1171. (doi:10.1016/0165-1889(94)90051-5).

Record type: Article

Abstract

This paper explores the hypothesis that the seasonal patterns of macroeconomic variables vary with expansions and contractions. Graphical techniques and generalized predictive tests for structural stability are used to identify and test patterns of changing seasonality. A Monte Carlo exercise shows the power of the tests against interesting alternatives. The empirical results suggest that seasonal patterns are unstable and that in many cases changes are linked to the stages of the business cycle. The forecasting costs incurred by treating seasonality as constant are discussed and evaluated.

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Published date: November 1994
Keywords: seasonality, business cycles, structural stability

Identifiers

Local EPrints ID: 32938
URI: http://eprints.soton.ac.uk/id/eprint/32938
DOI: doi:10.1016/0165-1889(94)90051-5
ISSN: 0165-1889
PURE UUID: 2cf140c3-614a-4586-8181-d7ae043f4f5d

Catalogue record

Date deposited: 11 Dec 2007
Last modified: 15 Mar 2024 07:40

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Contributors

Author: Fabio Canova
Author: Eric Ghysels

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