IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Single-season heteroscedasticity in time series

  • Jeremy Penzer

    (Department of Statistics, London School of Economics, London, UK)

  • Yorghos Tripodis

    (Department of Mathematics and Statistics, University of Massachusetts, Amherst, Massachusetts, USA)

Registered author(s):

    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.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://hdl.handle.net/10.1002/for.1022
    File Function: Link to full text; subscription required
    Download Restriction: no

    Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

    Volume (Year): 26 (2007)
    Issue (Month): 3 ()
    Pages: 189-202

    as
    in new window

    Handle: RePEc:jof:jforec:v:26:y:2007:i:3:p:189-202
    Contact details of provider: Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:jof:jforec:v:26:y:2007:i:3:p:189-202. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)

    or (Christopher F. Baum)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.