Spurious deterministic seasonality
Economics Letters p. 249- 256
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.
|seasonal dummies, stochastic seasonality|
|Time-Series Models; Dynamic Quantile Regressions (jel C22)|
|Organisation||Erasmus School of Economics|
Franses, Ph.H.B.F, Hylleberg, S, & Lee, H.S. (1995). Spurious deterministic seasonality. Economics Letters, 249–256. doi:10.1016/0165-1765(94)00638-I