Autori
Canova, Fabio
Hansen, Bruce E.

Titolo
Are seasonal patterns constant over time? a test for seasonal stability
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1992 - Fascicolo: 70 - Pagina iniziale: 1 - Pagina finale: 31

This paper describes two tests which are able to distinguish deterministic forms of seasonality from non-stationary seasonal fluctuations. The first one tests for time variations in the deviations of seasonal dummies from an overall mean. The second for time variations in the seasonal dummies at each seasonal frequency. The asymptotic distribution of the tests is derived under weak assumptions which allow for a wide variety of weakly dependent non-explosive processes. The tests are applied to three data sets with different seasonal characteristics.



Testo completo: http://hdl.handle.net/1814/421

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