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Spurious deterministic seasonality

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

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 48 (1995)
Issue (Month): 3-4 (June)
Pages: 249-256

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Handle: RePEc:eee:ecolet:v:48:y:1995:i:3-4:p:249-256

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Web page: http://www.elsevier.com/locate/ecolet

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References

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  1. J. Joseph Beaulieu & Jeffrey K. MacKie-Mason & Jeffrey A. Miron, 1991. "Why Do Countries and Industries with Large Seasonal Cycles Also Have Large Business Cycles?," NBER Working Papers 3635, National Bureau of Economic Research, Inc.
  2. Hylleberg, Svend & Jorgensen, Clara & Sorensen, Nils Karl, 1993. "Seasonality in Macroeconomic Time Series," Empirical Economics, Springer, Springer, vol. 18(2), pages 321-35.
  3. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 33(3), pages 311-340, December.
  4. Lee, Hahn Shik, 1992. "Maximum likelihood inference on cointegration and seasonal cointegration," Journal of Econometrics, Elsevier, Elsevier, vol. 54(1-3), pages 1-47.
  5. Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers, Pennsylvania State - Department of Economics 6-88-2, Pennsylvania State - Department of Economics.
  6. Beaulieu, J. Joseph & Miron, Jeffrey A., 1991. "The seasonal cycle in U.S. manufacturing," Economics Letters, Elsevier, Elsevier, vol. 37(2), pages 115-118, October.
  7. Jeffrey A. Miron, 1990. "The Economics of Seasonal Cycles," NBER Working Papers 3522, National Bureau of Economic Research, Inc.
  8. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
  9. Engle, R. F. & Granger, C. W. J. & Hylleberg, S. & Lee, H. S., 1993. "The Japanese consumption function," Journal of Econometrics, Elsevier, Elsevier, vol. 55(1-2), pages 275-298.
  10. Franses, Philip Hans, 1994. "A multivariate approach to modeling univariate seasonal time series," Journal of Econometrics, Elsevier, Elsevier, vol. 63(1), pages 133-151, July.
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Citations

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Cited by:
  1. Pami Dua & Lokendra Kumawat, 2010. "Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series," Working Papers id:3005, eSocialSciences.
  2. Rodrigues, Paulo M. M. & Taylor, A. M. Robert, 2004. "Alternative estimators and unit root tests for seasonal autoregressive processes," Journal of Econometrics, Elsevier, Elsevier, vol. 120(1), pages 35-73, May.
  3. Ghassen El Montasser & Talel Boufateh & Fakhri Issaoui, 2013. "The Seasonal KPSS Test When Neglecting Seasonal Dummies: A Monte Carlo analysis," EERI Research Paper Series EERI RP 2013/07, Economics and Econometrics Research Institute (EERI), Brussels.
  4. Lee, Hahn Shik & Siklos, Pierre L., 1997. "The role of seasonality in economic time series reinterpreting money-output causality in U.S. data," International Journal of Forecasting, Elsevier, Elsevier, vol. 13(3), pages 381-391, September.
  5. da Silva Lopes, Artur C. B., 2001. "The robustness of tests for seasonal differencing to structural breaks," Economics Letters, Elsevier, Elsevier, vol. 71(2), pages 173-179, May.
  6. Eric Ghysels & Denise R. Osborn & Paulo M. M. Rodrigues, 1999. "Seasonal Nonstationarity and Near-Nonstationarity," CIRANO Working Papers, CIRANO 99s-05, CIRANO.
  7. Artur Da Silva Lopes, 2004. "Deterministic Seasonality In Dickey-Fuller Tests: Should We Care?," Royal Economic Society Annual Conference 2004, Royal Economic Society 75, Royal Economic Society.
  8. Robin L. Lumsdaine & Eswar Prasad, 1999. "Identifying the Common Component in International Economic Fluctuations," IMF Working Papers 99/154, International Monetary Fund.
  9. Nasir Hamid Rao & Syed Kalim Hyder Bukhari & Abdul Jalil, 2011. "Detection and Forecasting of Islamic Calendar Effects in Time Series Data: Revisited," Working Papers id:4290, eSocialSciences.
  10. Osborn, Denise R. & Heravi, Saeed & Birchenhall, C. R., 1999. "Seasonal unit roots and forecasts of two-digit European industrial production," International Journal of Forecasting, Elsevier, Elsevier, vol. 15(1), pages 27-47, February.
  11. Robin L. Lumsdaine & Eswar S. Prasad, 2003. "Identifying the Common Component of International Economic Fluctuations: A New Approach," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 113(484), pages 101-127, January.
  12. Wells, J. M., 1997. "Modelling seasonal patterns and long-run trends in U.S. time series," International Journal of Forecasting, Elsevier, Elsevier, vol. 13(3), pages 407-420, September.
  13. Franses, Philip Hans & Kunst, Robert M., 2007. "Analyzing a panel of seasonal time series: Does seasonality in industrial production converge across Europe?," Economic Modelling, Elsevier, vol. 24(6), pages 954-968, November.
  14. Considine, Timothy J., 2000. "The impacts of weather variations on energy demand and carbon emissions," Resource and Energy Economics, Elsevier, Elsevier, vol. 22(4), pages 295-314, October.
  15. Lawrence J. Christiano & Richard M. Todd, 2000. "The Conventional Treatment of Seasonality in Business Cycle Analysis: Does it Create Distortions?," NBER Technical Working Papers 0266, National Bureau of Economic Research, Inc.

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