Spurious deterministic seasonality
January 1995
Article
pp 249-256.
| Related Files |
|---|
View PDF Version
(eur_franses_AE21.pdf, 0.4MB) |
|
Redirect to publisher's version
(publisher's version.url.txt, 49 bytes) |
It is sometimes assumed that the R2 of a regression of a first-order differenced time series on seasonal dummy variables reflects the amount of seasonal fluctuations that can be explained by deterministic variation in the series. In this paper we show that neglecting the presence of seasonal unit roots may yield spuriously high values of this coefficient.
Keywords
Classifications using
Journal of Economic Literature (JEL) Classification System
Automatically Extracted Terms
- unit roots
- series
- r 2 values
- time series
- value
- regression
- l unit r
- process
- economic
- result
- model
- distribution
- sample
- sample size
- letter
- franse
- polynomial
- h e n
- variable
- example
