A GENERAL TEST FOR UNIVARIATE SEASONALITY

Rafael Flores and Alfonso Novales

Journal of Time Series Analysis, 1997, vol. 18, issue 1, 29-48

Abstract: We propose a general test for univariate seasonality. Starting from a multivariate model for the seasons, some constraints must hold, both on the covariance matrix of the innovations and among coefficients across equations, for a univariate representation of seasonality to be appropriate. Applied to a set of 23 UK macroeconomic variables, our test shows that a multivariate representation of seasonality should be preferred in at least eight cases. This introduces a serious questioning of standard univariate filters to estimate the seasonal component in some economic time series, and suggests the possibility of a more complex but richer way of characterizing relationships among seasonal economic variables.

Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://doi.org/10.1111/1467-9892.00037

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:18:y:1997:i:1:p:29-48

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().