Spurious seasonality detection: a non-parametric test proposal

Aurelio Fernandez Bariviera, Angelo Plastino and George Judge ()

Papers from arXiv.org

Abstract: This paper offers a general and comprehensive definition of the day-of-the-week effect. Using symbolic dynamics, we develop a unique test based on ordinal patterns in order to detect it. This test uncovers the fact that the so-called "day-of-the-week" effect is partly an artifact of the hidden correlation structure of the data. We present simulations based on artificial time series as well. Whereas time series generated with long memory are prone to exhibit daily seasonality, pure white noise signals exhibit no pattern preference. Since ours is a non parametric test, it requires no assumptions about the distribution of returns so that it could be a practical alternative to conventional econometric tests. We made also an exhaustive application of the here proposed technique to 83 stock indices around the world. Finally, the paper highlights the relevance of symbolic analysis in economic time series studies.

Date: 2018-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (2)

Published in Econometrics 6, no. 1: 3

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Journal Article: Spurious Seasonality Detection: A Non-Parametric Test Proposal (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1801.07941

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