Seasonal Characteristics of Indian Time SeriesR. Krishnan
Indian Economic Review, 2007, vol. 42, issue 2, pages 191-210 Abstract: In this paper, seasonal behaviour of many Indian time series is analysed to check for stochastic seasonality. The results obtained using popular test procedures give contradictory results, though the general conclusion is that there is no evidence of seasonality being stochastic. Hence, the traditional way of using multiplicative filter or Census X-11 to remove seasonality is really not required in many cases. The existence of a unit root at the zero frequency, however, is confirmed for all but the stock returns series, along with fact that the first difference filter for should be augmented with other filters to make it stationary. Seasonal dummies account for a sizable portion of the fluctuations in the differenced series. Keywords: Seasonal Unit Roots; HEGY Test (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Ordering information: This journal article can be ordered from Access Statistics for this article Indian Economic Review is edited by Partha Sen and Pami Dua More articles in Indian Economic Review from Department of Economics, Delhi School of Economics |
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