Spurious deterministic seasonality

DOI10.1016/0165-1765(94)00638-IMaRDI QIDQ672885zbMATH OpenFDO

Authors Philip Hans Franses, Svend Hylleberg, Hahn S. Lee

Publication date 28 February 1997

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

Seasonal dummiesStochastic seasonality

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Recommendations

• A note on spurious regression in seasonal time series
• Effect of neglected deterministic seasonality on unit root tests
• REGRESSION-BASED SEASONAL UNIT ROOT TESTS
• Testing for unit roots in time series with nearly deterministic seasonal variation
• Some tests for unit roots in seasonal time series with deterministic trends

Cites work

• scientific article; zbMATH DE number 3336457 (Why is no real title available?)
• A multivariate approach to modeling univariate seasonal time series
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Maximum likelihood inference on cointegration and seasonal cointegration
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Seasonal integration and cointegration
• Time Series Regression with a Unit Root
• Understanding spurious regressions in econometrics

Cited in

(4)

• Identification of seasonal effects in impulse responses using score-driven multivariate location models
• Alternative estimators and unit root tests for seasonal autoregressive processes
• A note on spurious regression in seasonal time series
• The robustness of tests for seasonal differencing to structural breaks.

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