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Spurious deterministic seasonality

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

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File URL: http://www.sciencedirect.com/science/article/B6V84-3YVCYYK-5/2/cb61d83eaa5226bdc3a7f013cea1ee37
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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. Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
  3. Franses, Philip Hans, 1994. "A multivariate approach to modeling univariate seasonal time series," Journal of Econometrics, Elsevier, vol. 63(1), pages 133-151, July.
  4. Peter C.B. Phillips, 1985. "Understanding Spurious Regressions in Econometrics," Cowles Foundation Discussion Papers 757, Cowles Foundation for Research in Economics, Yale University.
  5. Lee, Hahn Shik, 1992. "Maximum likelihood inference on cointegration and seasonal cointegration," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 1-47.
  6. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
  7. J. Joseph Beaulieu & Jeffrey A. Miron, 1990. "The Seasonal Cycle in U.S. Manufacturing," Papers 0012, Boston University - Industry Studies Programme.
  8. Engle, R. F. & Granger, C. W. J. & Hylleberg, S. & Lee, H. S., 1993. "The Japanese consumption function," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 275-298.
  9. Jeffrey A. Miron, 1996. "The Economics of Seasonal Cycles," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262133237, January.
  10. Hylleberg, Svend & Jorgensen, Clara & Sorensen, Nils Karl, 1993. "Seasonality in Macroeconomic Time Series," Empirical Economics, Springer, vol. 18(2), pages 321-35.
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Citations

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Cited by:
  1. 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.
  2. Wells, J. M., 1997. "Modelling seasonal patterns and long-run trends in U.S. time series," International Journal of Forecasting, Elsevier, vol. 13(3), pages 407-420, September.
  3. Robin L. Lumsdaine & Eswar S. Prasad, 2003. "Identifying the Common Component of International Economic Fluctuations: A New Approach," Economic Journal, Royal Economic Society, vol. 113(484), pages 101-127, January.
  4. Christiano, Lawrence J. & Todd, Richard M., 2002. "The conventional treatment of seasonality in business cycle analysis: does it create distortions?," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 335-364, March.
  5. Pami Dua & Lokendra Kumawat, 2005. "Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series," Working papers 136, Centre for Development Economics, Delhi School of Economics.
  6. 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, vol. 15(1), pages 27-47, February.
  7. Rodrigues, Paulo M. M. & Taylor, A. M. Robert, 2004. "Alternative estimators and unit root tests for seasonal autoregressive processes," Journal of Econometrics, Elsevier, vol. 120(1), pages 35-73, May.
  8. Artur Silva Lopes, 2006. "Deterministic seasonality in Dickey–Fuller tests: should we care?," Empirical Economics, Springer, vol. 31(1), pages 165-182, March.
  9. Lee, H.S. & Siklos, P.L., 1997. "The Role of Seasonality in Economic Time Series: Reinterpretating Money-Output Causality in U.S. Data," Working Papers 97-1, Wilfrid Laurier University, Department of Economics.
  10. Bukhari, Syed Kalim Hyder & Abdul, Jalil & Rao, Nasir Hamid, 2011. "Detection and Forecasting of Islamic Calendar Effects in Time Series Data: Revisited," MPRA Paper 31124, University Library of Munich, Germany.
  11. da Silva Lopes, Artur C. B., 2001. "The robustness of tests for seasonal differencing to structural breaks," Economics Letters, Elsevier, vol. 71(2), pages 173-179, May.
  12. 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.
  13. Eric Ghysels & Denise R. Osborn & Paulo M. M. Rodrigues, 1999. "Seasonal Nonstationarity and Near-Nonstationarity," CIRANO Working Papers 99s-05, CIRANO.
  14. Robin L. Lumsdaine & Eswar S. Prasad, 1997. "Identifying the Common Component in International Economic Fluctuations," NBER Working Papers 5984, National Bureau of Economic Research, Inc.
  15. Considine, Timothy J., 2000. "The impacts of weather variations on energy demand and carbon emissions," Resource and Energy Economics, Elsevier, vol. 22(4), pages 295-314, October.

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