Canova, Fabio and Ghysels, Eric
Changes in seasonal patterns: are they cyclical?
Journal of Economic Dynamics and Control, 18, (6), . (doi:10.1016/0165-1889(94)90051-5).
Full text not available from this repository.
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.
Actions (login required)