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Seasonal Characteristics of Indian Time Series

Author

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  • R. Krishnan

    (Indira Gandhi Institute of Development Research, Mumbai, India)

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.

Suggested Citation

  • R. Krishnan, 2007. "Seasonal Characteristics of Indian Time Series," Indian Economic Review, Department of Economics, Delhi School of Economics, vol. 42(2), pages 191-210, December.
    • Handle: RePEc:dse:indecr:v:42:y:2007:i:2:p:191-210
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    Cited by:

    1. Sujata Kar, 2010. "A Periodic Autoregressive Model of Indian WPI Inflation," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 4(3), pages 279-292, August.

    More about this item

    Keywords

    Seasonal Unit Roots; HEGY Test;

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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