Seasonality in Dynamic Regression Models

Andrew Harvey and Andrew Scott

Economic Journal, 1994, vol. 104, issue 427, 1324-45

Abstract: We examine the implications of treating seasonality as an unobserved component which changes slowly over time. This approach simplifies the specification of dynamic relationships by separating non-seasonal from seasonal factors. We illustrate this approach using the consumption model of Davidson et al. (1978), estimating a stable error correction model between consumption, income and prices over the period 1958-92. More generally, we argue that autoregressive models are unlikely to model slowly changing seasonality successfully, and may confound seasonal effects with the dynamic responses of prime interest. Our approach can be used in a wide range of cases and involves little loss in efficiency even if seasonality is deterministic. Copyright 1994 by Royal Economic Society.

Date: 1994
References: Add references at CitEc
Citations: View citations in EconPapers (60)

Downloads: (external link)
http://links.jstor.org/sici?sici=0013-0133%2819941 ... 0.CO%3B2-E&origin=bc full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
Working Paper: Seasonality in Dynamic Regression Models (1994)
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:ecj:econjl:v:104:y:1994:i:427:p:1324-45

Ordering information: This journal article can be ordered from
http://www.blackwell ... al.asp?ref=0013-0133

Access Statistics for this article

Economic Journal is currently edited by Martin Cripps, Steve Machin, Woulter den Haan, Andrea Galeotti, Rachel Griffith and Frederic Vermeulen

More articles in Economic Journal from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().