Spurious deterministic seasonality

Franses, Philip Hans; Hylleberg, Svend; Lee, Hahn S.

doi:10.1016/0165-1765(94)00638-i

Cited by 66 publications

(19 citation statements)

References 10 publications

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“…Analysis of the consequences of misspecifying the seasonal structure can be found in da Silva and Artur (1999) and Franses, Hylleberg, and Lee (1995). For example, if seasonality is deterministic and seasonal differencing is applied, overdifferencing will result.…”

Section: Testing For Linearitymentioning

confidence: 99%

Are Business Cycle Dynamics the Same across Countries? Testing Linearity around the Globe

Bradley¹,

Jansen²

2000

Studies in Nonlinear Dynamics &Amp; Econometrics

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We investigate business cycle dynamics for 26 countries, estimating a set of nonlinear models for real GDP where appropriate. We find a great deal of heterogeneity in the dynamics of real output growth across countries. At the same time, a common feature is the asymmetric response of real GDP to shocks and the tendency for negative real GDP shocks to be less persistent than positive real GDP shocks.

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Section: Testing For Linearitymentioning

confidence: 99%

Are Business Cycle Dynamics the Same across Countries? Testing Linearity around the Globe

Bradley¹,

Jansen²

2000

Studies in Nonlinear Dynamics &Amp; Econometrics

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“…Franses et al (1995) argue that high R 2 values may also follow from seasonal unit roots, which issue will be addressed in the next section. Even then, the dummy regressions serve as a convenient descriptive measure of the strength of seasonality in the series.…”

Section: Introductionmentioning

confidence: 99%

Seasonal prediction of European cereal prices: good forecasts using bad models?

Jumah

Kunst

2008

Journal of Forecasting

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Because of their natural adherence to the climate and pronounced seasonal cycles, prices of field crops constitute an interesting field for exploring seasonal time series models. We consider quarterly prices of two major cereals: barley and wheat. Using traditional in-sample fit and moving-window techniques, we investigate whether seasonality is deterministic or unit-root stochastic and whether seasonal cycles have converged over time. We find that seasonal cycles in the data are mainly deterministic and that evidence on common cycles across countries differs for the two commodities. Out-of-sample prediction experiments, however, yield a ranking with respect to accuracy that does not match the statistical in-sample evidence. Parametric bootstrap experiments establish that the observed mismatch is indeed an inherent and systematic feature. Copyright © 2008 John Wiley & Sons, Ltd.

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“…For example, when a time series exhibits seasonal unit roots, deterministic seasonality is also usually present at some extent [ see Abeysinghe (1994) and Lopes(1999), inter alia ]. Recently, Franses, Hylleberg and Lee (1995) pointed out that solely considering seasonality as deterministic while the time series is actually affected by seasonal unit roots results in spurious statistical inference. However, ignoring or avoiding deterministic seasonality in integrated time series should not be drawn from the conclusions of these authors.…”

Section: Introductionmentioning

confidence: 99%

The Seasonal KPSS Test When Neglecting Seasonal Dummies: A Monte Carlo Analysis

Montasser

Boufateh

Issaoui

2015

Journal of Interdisciplinary Mathematics

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract This paper shows through a Monte Carlo analysis the effect of neglecting seasonal deterministics on the seasonal KPSS test. We found that the test is most of the time heavily oversized and not convergent in this case. In addition, Bartlett-type non-parametric correction of error variances did not signally change the test's rejection frequencies . Terms of use: Documents in EconStor may

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Spurious deterministic seasonality

Cited by 66 publications

References 10 publications

Are Business Cycle Dynamics the Same across Countries? Testing Linearity around the Globe

Are Business Cycle Dynamics the Same across Countries? Testing Linearity around the Globe

Seasonal prediction of European cereal prices: good forecasts using bad models?

The Seasonal KPSS Test When Neglecting Seasonal Dummies: A Monte Carlo Analysis

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