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Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability

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Cited by:

  1. Rice, William L. & Park, So Young & Pan, Bing & Newman, Peter, 2019. "Forecasting campground demand in US national parks," Annals of Tourism Research, Elsevier, vol. 75(C), pages 424-438.
  2. [Reference to Proietti], Tommaso, 2000. "Comparing seasonal components for structural time series models," International Journal of Forecasting, Elsevier, vol. 16(2), pages 247-260.
  3. El Montasser, Ghassen, 2014. "The seasonal KPSS Test: some extensions and further results," MPRA Paper 54920, University Library of Munich, Germany.
  4. Kim, Jae H. & Wong, Kevin & Athanasopoulos, George & Liu, Shen, 2011. "Beyond point forecasting: Evaluation of alternative prediction intervals for tourist arrivals," International Journal of Forecasting, Elsevier, vol. 27(3), pages 887-901.
  5. Sadia Anjum, 2020. "Impact of market anomalies on stock exchange: a comparative study of KSE and PSX," Future Business Journal, Springer, vol. 6(1), pages 1-11, December.
  6. Dick van Dijk 1 & Birgit Strikholm & Timo Teräsvirta, 2003. "The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 79-98, June.
  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 C. B. da Silva Lopes & Antonio Montanes, 2005. "The Behavior Of Hegy Tests For Quarterly Time Series With Seasonal Mean Shifts," Econometric Reviews, Taylor & Francis Journals, vol. 24(1), pages 83-108.
  9. Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk, 2014. "Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(3), pages 360-388, June.
  10. Michael Reutter, 2000. "Hysteresis in West German Unemployment Reconsidered," CESifo Working Paper Series 240, CESifo.
  11. Pulapre Balakrishnan & M. Parameswaran, 2019. "Modeling the Dynamics of Inflation in India," Working Papers 16, Ashoka University, Department of Economics.
  12. Claveria, Oscar, 2019. "Forecasting the unemployment rate using the degree of agreement in consumer unemployment expectations," Journal for Labour Market Research, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], vol. 53(1), pages .3(1-10).
  13. Constantino Hevia & Ivan Petrella & Martin Sola, 2018. "Risk premia and seasonality in commodity futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 853-873, September.
  14. Ikerne Valle & Kepa Astorkiza & Ignacio Díaz-Emparanza, 2017. "Measuring species concentration, diversification and dependency in a macro-fishery," Empirical Economics, Springer, vol. 52(4), pages 1689-1713, June.
  15. Dario Cziráky & Max Gillman, 2006. "Money Demand in an EU Accession Country: A VECM Study of Croatia," Bulletin of Economic Research, Wiley Blackwell, vol. 58(2), pages 105-127, April.
  16. Anton Skrobotov, 2013. "On GLS-detrending for deterministic seasonality testing," Working Papers 0073, Gaidar Institute for Economic Policy, revised 2014.
  17. Do, Linh Phuong Catherine & Lyócsa, Štefan & Molnár, Peter, 2021. "Residual electricity demand: An empirical investigation," Applied Energy, Elsevier, vol. 283(C).
  18. Johan Lyhagen, 2006. "The seasonal KPSS statistic," Economics Bulletin, AccessEcon, vol. 3(13), pages 1-9.
  19. L. A. Gil-Alana & P. M. Robinson, 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 95-114.
  20. Ibrahim, Mohammed & Florkowski, Wojciech J., 2004. "Price-Inventory Relationship In The Pecan Industry: A Study Of Long- And Short-Run Effects With Seasonal Consideration," 2004 Annual Meeting, February 14-18, 2004, Tulsa, Oklahoma 34636, Southern Agricultural Economics Association.
  21. Tommaso Proietti & Diego J. Pedregal, 2021. "Seasonality in High Frequency Time Series," CEIS Research Paper 508, Tor Vergata University, CEIS, revised 11 Mar 2021.
  22. Rotger, Gabriel Pons, "undated". "Testing for Seasonal Unit Roots with Temporally Aggregated Time Series," Economics Working Papers 2003-16, Department of Economics and Business Economics, Aarhus University.
  23. Evren Erdoğan Cosar, 2006. "Seasonal behaviour of the consumer price index of Turkey," Applied Economics Letters, Taylor & Francis Journals, vol. 13(7), pages 449-455.
  24. Bhattacharya, Rudrani & Pandey, Radhika & Patnaik, Ila & Shah, Ajay, 2016. "Seasonal adjustment of Indian macroeconomic time-series," Working Papers 16/160, National Institute of Public Finance and Policy.
  25. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, Department of Economics and Business Economics, Aarhus University.
  26. Burridge, Peter & Taylor, A. M. Robert, 2001. "On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity," Journal of Econometrics, Elsevier, vol. 104(1), pages 91-117, August.
  27. Uwe Hassler & Paulo M. M. Rodrigues, 2004. "Seasonal Unit Root Tests Under Structural Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(1), pages 33-53, January.
  28. Zacharias Psaradakis, 1997. "Testing for unit roots in time series with nearly deterministic seasonal variation," Econometric Reviews, Taylor & Francis Journals, vol. 16(4), pages 421-439.
  29. Tommaso Proietti & Eric Hillebrand, 2017. "Seasonal changes in central England temperatures," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 180(3), pages 769-791, June.
  30. Tommaso Proietti & Stefano Grassi, 2015. "Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search," Empirical Economics, Springer, vol. 48(3), pages 983-1011, May.
  31. Michael Reutter & Jakob Von Weizsacker & Frank Westermann, 2002. "SeptemBear - A seasonality puzzle in the German stock index DAX," Applied Financial Economics, Taylor & Francis Journals, vol. 12(11), pages 765-769.
  32. Santiago Cajiao Raigosa & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Pronósticos para una economía menos volátil: El caso colombiano," BORRADORES DE ECONOMIA 011252, BANCO DE LA REPÚBLICA.
  33. Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871, May.
  34. Xiaoqian Wang & Yanfei Kang & Rob J Hyndman & Feng Li, 2020. "Distributed ARIMA Models for Ultra-long Time Series," Monash Econometrics and Business Statistics Working Papers 29/20, Monash University, Department of Econometrics and Business Statistics.
  35. Lindé, Jesper, 2003. "Monetary Policy Shocks and Business Cycle Fluctuations in a Small Open Economy: Sweden 1986-2002," Working Paper Series 153, Sveriges Riksbank (Central Bank of Sweden).
  36. Tiwari, Aviral Kumar & Mutascu, Mihai Ioan & Albulescu, Claudiu Tiberiu & Kyophilavong, Phouphet, 2015. "Frequency domain causality analysis of stock market and economic activity in India," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 224-238.
  37. Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
  38. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, University Library of Munich, Germany.
  39. Koop, Gary & Dijk, Herman K. Van, 2000. "Testing for integration using evolving trend and seasonals models: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 97(2), pages 261-291, August.
  40. Sasikiran Kandula & Jeffrey Shaman, 2019. "Reappraising the utility of Google Flu Trends," PLOS Computational Biology, Public Library of Science, vol. 15(8), pages 1-16, August.
  41. Busetti, Fabio & Taylor, A. M. Robert, 2003. "Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots," Journal of Econometrics, Elsevier, vol. 117(1), pages 21-53, November.
  42. Fabio Busetti, 2006. "Tests of seasonal integration and cointegration in multivariate unobserved component models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 419-438.
  43. Eric Ghysels & Denise R. Osborn & Paulo M. M. Rodrigues, 1999. "Seasonal Nonstationarity and Near-Nonstationarity," CIRANO Working Papers 99s-05, CIRANO.
  44. Diaz-Emparanza, Ignacio, 2014. "Numerical distribution functions for seasonal unit root tests," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 237-247.
  45. A. M. Robert Taylor, 2003. "Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(5), pages 591-612, September.
  46. Luis A. Gil-Alana & Juncal Cunado & Fernando Perez de Gracia, 2008. "Tourism in the Canary Islands: forecasting using several seasonal time series models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 621-636.
  47. Ferreira, Eva & Nunez-Anton, Vicente & Rodriguez-Poo, Juan, 2000. "Semiparametric approaches to signal extraction problems in economic time series," Computational Statistics & Data Analysis, Elsevier, vol. 33(3), pages 315-333, May.
  48. Gabriel Pons, 2006. "Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(2), pages 191-209, March.
  49. Evans, Mark, 2006. "A study of the relationship between regional ferrous scrap prices in the USA, 1958-2004," Resources Policy, Elsevier, vol. 31(2), pages 65-77, June.
  50. Mr. Francis Y Kumah, 2006. "The Role of Seasonality and Monetary Policy in Inflation Forecasting," IMF Working Papers 2006/175, International Monetary Fund.
  51. Trenkler, Carsten & Wolf, Nikolaus, 2004. "Economic integration across borders : the Polish interwar economy 1921-1937," Papers 2004,38, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
  52. Arnade, Carlos & Pick, Daniel, 1998. "Seasonality and unit roots: the demand for fruits," Agricultural Economics, Blackwell, vol. 18(1), pages 53-62, January.
  53. Martelotte Marcela Cohen & Souza Reinaldo Castro & Silva Eduardo Antônio Barros da, 2017. "Design of Seasonal Adjustment Filter Robust to Variations in the Seasonal Behaviour of Time Series," Journal of Official Statistics, Sciendo, vol. 33(1), pages 155-186, March.
  54. repec:ebl:ecbull:v:3:y:2006:i:13:p:1-9 is not listed on IDEAS
  55. Ankamah-Yeboah, Isaac, 2012. "Spatial Price Transmission in the Regional Maize Markets in Ghana," MPRA Paper 49720, University Library of Munich, Germany.
  56. Paulo Rodrigues & Denise Osborn, 1999. "Performance of seasonal unit root tests for monthly data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(8), pages 985-1004.
  57. Gregoir, Stephane, 2006. "Efficient tests for the presence of a pair of complex conjugate unit roots in real time series," Journal of Econometrics, Elsevier, vol. 130(1), pages 45-100, January.
  58. Smith, Richard J. & Taylor, A.M. Robert & del Barrio Castro, Tomas, 2009. "Regression-Based Seasonal Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 25(2), pages 527-560, April.
  59. Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2009. "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(5), pages 683-713, October.
  60. Lacroix, R., 2008. "Analyse conjoncturelle de données brutes et estimation de cycles Partie 1 : estimation et tests," Working papers 209, Banque de France.
  61. Fabio Busetti, 2006. "Tests of seasonal integration and cointegration in multivariate unobserved component models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 419-438.
  62. Gianluca Cubadda, 2001. "Common Features In Time Series With Both Deterministic And Stochastic Seasonality," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 201-216.
  63. Bataa, Erdenebat, 2012. "The Composite Leading Indicator of Mongolia," MPRA Paper 72415, University Library of Munich, Germany.
  64. Gil-Alaña, L. A. & Robinson, Peter M., 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," LSE Research Online Documents on Economics 298, London School of Economics and Political Science, LSE Library.
  65. Lacroix, R., 2008. "Analyse conjoncturelle de données brutes et estimation de cycles Partie 2 : mise en oeuvre empirique," Working papers 210, Banque de France.
  66. Taylor, A. M. Robert, 2005. "Variance ratio tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, vol. 124(1), pages 33-54, January.
  67. A. Ahrens & T. V. Kovandzic & L. M. Vieraitis, 2015. "Do execution moratoriums increase homicide? Re-examining evidence from Illinois," Applied Economics, Taylor & Francis Journals, vol. 47(31), pages 3243-3257, July.
  68. Kavussanos, Manolis G. & Alizadeh-M, Amir H., 2002. "Seasonality patterns in tanker spot freight rate markets," Economic Modelling, Elsevier, vol. 19(5), pages 747-782, November.
  69. Franses, Philip Hans & van Dijk, Dick, 2005. "The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production," International Journal of Forecasting, Elsevier, vol. 21(1), pages 87-102.
  70. Antonio Aguirre & Andreu Sansó, 2002. "Using different null hypotheses to test for seasonal unit roots in economic time series," Económica, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 0(1-2), pages 3-26, January-D.
  71. Tiwari, Aviral Kumar & Dutta, Subhendu & Dash, Aruna Kumar, 2017. "Testing of the Seasonal Unit Root Hypothesis in the Price Indices of Agricultural Commodities in India," Asian Journal of Agriculture and Development, Southeast Asian Regional Center for Graduate Study and Research in Agriculture (SEARCA), vol. 14(2), December.
  72. Eiji Kurozumi, 2002. "Testing For Periodic Stationarity," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 243-270.
  73. Schneider, Andreas, 2018. "Are their collar still white? White-collar crime: Evidence from Paraguay 2000-2016," MPRA Paper 102202, University Library of Munich, Germany.
  74. Adusei Jumah & Robert M. Kunst, 2008. "Seasonal prediction of European cereal prices: good forecasts using bad models?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 391-406.
  75. Fok, D. & Franses, Ph.H.B.F. & Paap, R., 2005. "Performance of Seasonal Adjustment Procedures: Simulation and Empirical Results," Econometric Institute Research Papers EI 2005-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  76. Díaz-Emparanza, Ignacio & Moral, M. Paz, 2014. "Numerical distribution functions for seasonal stability tests," Statistics & Probability Letters, Elsevier, vol. 86(C), pages 44-49.
  77. Gabriel Pons Rotger, 2004. "Seasonal Unit Root Testing Based on the Temporal Aggregation of Seasonal Cycles," Economics Working Papers 2004-1, Department of Economics and Business Economics, Aarhus University.
  78. Hyndman, Rob J. & Khandakar, Yeasmin, 2008. "Automatic Time Series Forecasting: The forecast Package for R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 27(i03).
  79. Emanuela Marrocu, 2006. "An Investigation of the Effects of Data Transformation on Nonlinearity," Empirical Economics, Springer, vol. 31(4), pages 801-820, November.
  80. Adeniji Sesan Oluseyi & Timilehin John Olasehinde & Gamaliel O. Eweke, 2017. "The Impact of Money Supply on Nigeria Economy: A Comparison of Mixed Data Sampling (MIDAS) and ARDL Approach," EuroEconomica, Danubius University of Galati, issue 2(36), pages 123-134, November.
  81. Pulapre Balakrishnan & M. Parameswaran, 2019. "Modeling the Dynamics of Inflation in India," Working Papers 1023, Ashoka University, Department of Economics.
  82. E. Andersson & D. Bock & M. Frisen, 2006. "Some statistical aspects of methods for detection of turning points in business cycles," Journal of Applied Statistics, Taylor & Francis Journals, vol. 33(3), pages 257-278.
  83. CÁCERES HERNÁNDEZ, José Juan & CANO FERNÁNDEZ, Víctor J. & MARTÍN ÁLVAREZ, Francisco J., 2001. "Observaciones anómalas y contrastes de raíz unitaria en datos semanales," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 17, pages 85-105, Abril.
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  85. Jumah, Adusei & Kunst, Robert M., 2006. "Seasonal Cycles in European Agricultural Commodity Prices," Economics Series 192, Institute for Advanced Studies.
  86. El Montasser, Ghassen, 2012. "The seasonal KPSS Test: some extensions and further results," MPRA Paper 45110, University Library of Munich, Germany, revised 04 Mar 2014.
  87. Tommaso Proietti & Cecilia Frale, 2011. "New proposals for the quantification of qualitative survey data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(4), pages 393-408, July.
  88. L A Gil-Alaña & Peter M Robinson, 2000. "Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income," STICERD - Econometrics Paper Series 402, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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  97. Smith, Richard J. & Robert Taylor, A. M., 2001. "Recursive and rolling regression-based tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, vol. 105(2), pages 309-336, December.
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  102. Gianluca Cubadda, 2001. "Complex Reduced Rank Models For Seasonally Cointegrated Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(4), pages 497-511, September.
  103. Shigeyuki Hamori & Akira Tokihisa, 2002. "Some International Evidence on the Seasonality of Stock Prices," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 1(1), pages 79-86, April.
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