Spurious deterministic seasonality☆
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Cited by (38)
Model order selection in periodic long memory models
2019, Econometrics and StatisticsCitation Excerpt :This is why we proceed in the opposite order to García-Enríquez et al. (2014) and remove potential deterministic cycles by cyclical demeaning – prior to the application of the sequential-G* procedure. In the context of seasonally integrated processes, the effect of seasonal demeaning has been studied by Abeysinghe (1991, 1994) and Franses et al. (1995). Here, we treat stationary processes that are correctly specified and the demeaning can be conducted using simple OLS estimates of the cyclical means μ(s).
Exploring cross correlation among diversity indices
2018, Fisheries ResearchCo-integration analysis of quarterly European tourism demand in Tunisia
2008, Tourism ManagementCitation Excerpt :Indeed, an eventual stochastic seasonal non-stationarity of the TArr variable implies that using the OLS method will hold spurious results, that is why the structural time series model and the Harvey method are used to estimate the econometric models for Germany and the UK (see also the simulation works of Franses et al., 1995).
Analyzing a panel of seasonal time series: Does seasonality in industrial production converge across Europe?
2007, Economic ModellingCitation Excerpt :In line with the findings by Miron (1996), we see that R2 values are rather high for most countries. While these high values might be spurious as seasonal unit roots would also deliver such values, see Franses et al. (1995), they at least indicate that seasonal variation explains a sizeable part of the overall fluctuation. For Table 2, the TIEC sample was split in two halves.
Chapter 13 Forecasting Seasonal Time Series
2006, Handbook of Economic ForecastingCitation Excerpt :However, consideration should be given to various potential problems that can occur when treating a seasonal pattern as purely deterministic. Indeed, spurious deterministic seasonality emerges when seasonal unit roots present in the data are neglected [Abeysinghe (1991, 1994), Franses, Hylleberg and Lee (1995), and Lopes (1999)]. On the other hand, however, Ghysels, Lee and Siklos (1993) and Rodrigues (2000) establish that, for some purposes, (15) or (16) can represent a valid approach even with seasonally integrated data, provided the model is adequately augmented to take account of any seasonal unit roots potentially present in the data.
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The first author thanks the Royal Netherlands Academy of Arts and Sciences for its financial support. The third author acknowledges the financial support of Tulane University through a short-term research grant. Thanks are also due to Bart Hobijn for research assistance.