Single-season heteroscedasticity in time series
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.
Volume (Year): 26 (2007)
Issue (Month): 3 ()
|Contact details of provider:|| Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 127-152, April.
- Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 169-177, April.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
- Osborn, Denise R & Smith, Jeremy P, 1989. "The Performance of Periodic Autoregressive Models in Forecasting Seasonal U. K. Consumption," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 117-127, January.
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.