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Changes in seasonal patterns: are they cyclical?

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

Record type: Article


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


Local EPrints ID: 32938
ISSN: 0165-1889
PURE UUID: 2cf140c3-614a-4586-8181-d7ae043f4f5d

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Date deposited: 11 Dec 2007
Last modified: 17 Jul 2017 15:54

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Author: Fabio Canova
Author: Eric Ghysels

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