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Single-season heteroscedasticity in time series

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Author Info
Jeremy Penzer (Department of Statistics, London School of Economics, London, UK)
Yorghos Tripodis (Department of Mathematics and Statistics, University of Massachusetts, Amherst, Massachusetts, USA)
Abstract

We consider seasonal time series in which one season has variance that is different from all the others. This behaviour is evident in indices of production where variability is highest for the month with the lowest level of production. We show that when one season has different variability from others there are constraints on the seasonal models that can be used; neither dummy and trigonometric models are effective in modelling this type of behaviour. We define a general model that provides an appropriate representation of single-season heteroscedasticity and suggest a likelihood ratio test for the presence of periodic variance in one season.  Copyright © 2007 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.1022
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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 26 (2007)
Issue (Month): 3 ()
Pages: 189-202
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:jof:jforec:v:26:y:2007:i:3:p:189-202

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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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