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Título:
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A general test for univariate seasonality
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Autores:
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Flores de Frutos, Rafael ;
Novales Cinca, Alfonso
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Tipo de documento:
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texto impreso
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Editorial:
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Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE), 1995-10
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Dimensiones:
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application/pdf
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Nota general:
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info:eu-repo/semantics/openAccess
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Idiomas:
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Palabras clave:
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Estado = Publicado
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Materia = Ciencias: Estadística: Econometría
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Tipo = Documento de trabajo o Informe técnico
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Resumen:
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We propose a general test for univariate seasonality. Starting from a multivariate model for the seasons. some constraints must hold both, on the covariance matrix of the innovations, as well as among coefficients across equations, for a univariate representation of seasonality to be appropriate. Appied to a set of 23 U.K. macroeconomic variables, our test shows that a multivariate representation of seasonality should be preferred in at least 8 cases.
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En línea:
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https://eprints.ucm.es/id/eprint/28000/1/ICAE9503.pdf
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