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Changes in seasonal patterns: are they cyclical?

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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Citation

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).

More information

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

Identifiers

Local EPrints ID: 32938
URI: http://eprints.soton.ac.uk/id/eprint/32938
ISSN: 0165-1889
PURE UUID: 2cf140c3-614a-4586-8181-d7ae043f4f5d

Catalogue record

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

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Contributors

Author: Fabio Canova
Author: Eric Ghysels

University divisions


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