SPURIOUS DETERMINISTIC SEASONALITY

Authors
FRANSES PH HYLLEBERG S LEE HS
Citation
Ph. Franses et al., SPURIOUS DETERMINISTIC SEASONALITY, Economics letters, 48(3-4), 1995, pp. 249-256
Citations number
13
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
48
Issue
3-4
Year of publication
1995
Pages
249 - 256
Database
ISI
SICI code
0165-1765(1995)48:3-4<249:SDS>2.0.ZU;2-H
Abstract
It is sometimes assumed that the R(2) of a regression of a first-order differenced time series on seasonal dummy variables reflects the amou nt of seasonal fluctuations that can be explained by deterministic var iation in the series. In this paper we show that neglecting the presen ce of seasonal unit roots may yield spuriously high values of this coe fficient.