Deterministic seasonality versus seasonal fractional integration
نویسنده
چکیده
We make use in this article of a testing procedure suggested by Robinson (1994) for testing deterministic seasonality versus seasonal fractional integration. A new test statistic is developed to simultaneously test both, the order of integration of the seasonal component and the need of seasonal dummy variables. Finite-sample critical values of the tests are computed and, an empirical application, using both, Robinson (1994) and the joint test described in the paper, is also carried out at the end of the article. JEL Classification: C12; C15; C22
منابع مشابه
Deterministic versus stochastic seasonal fractional integration and structural breaks
This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional (stationary and nonstationary) orders of integration, and also incorporating endogenously determined structural breaks. Monte Carlo analysis shows that the suggested procedure performs well even in small samples, accurately capturing the seasonal properties of the s...
متن کاملTourism in the Canary Islands: Forecasting using several seasonal time series models
This paper deals with the analysis of the number of tourists travelling to the Canary Islands by means of using different seasonal statistical models. Deterministic and stochastic seasonality is considered. For the latter case, we employ seasonal unit roots and seasonally fractionally integrated models. As a final approach, we also employ a model with possibly different orders of integration at...
متن کاملForecasting Seasonal Time Series with Multilayer Perceptrons - An Empirical Evaluation of Input Vector Specifications for Deterministic Seasonality
Research in forecasting with Neural Networks (NN) has provided contradictory evidence on their ability to model seasonal time series. Several empirical studies have concluded that time series should be deseasonalised prior to modelling, with contradictory evidence pointing to adequate selection of input vectors. However, the nature of seasonality itself has not been considered: econometric theo...
متن کاملMwp 2009/37 Max Weber Programme Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index
This paper investigates whether using natural logarithms (logs) of price indices for forecasting inflation rates is preferable to employing the original series. Univariate forecasts for annual inflation rates for a number of European countries and the USA based on monthly seasonal consumer price indices are considered. Stochastic seasonality and deterministic seasonality models are used. In man...
متن کاملInappropriate use of seasonal dummies in regression *
The underlying assumption for using seasonal dummies in a regression is that the seasonality of the dependent variable is deterministic. Many economic variables show a regular seasonal pattern, with peaks occuring in the same season year after year. Such a regular seasonal pattern can also be a result of an integrated stochastic process. This paper examines some consequences of deterministic mo...
متن کامل