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.

Economics Letters
Erasmus School of Economics

Franses, P. H., Hylleberg, S., & Lee, H. (1995). Spurious deterministic seasonality. Economics Letters, 249–256. doi:10.1016/0165-1765(94)00638-I