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| Tekijä: | Franses, P. Vagelsang, T. |
| Otsikko: | On seasonal cycles, unit roots, and mean shifts |
| Lehti: | Review of Economics and Statistics
1998 : MAY, VOL. 80:2, p. 231-240 |
| Asiasana: | UNIT ROOTS SHIFTWORK ECONOMICS |
| Kieli: | eng |
| Tiivistelmä: | The interpretation of seasonality in terms of economic behavior depends on the form of the econometric time-series model that allows for a description of seasonality. Popular models often assume either approximate deterministic seasonality or stochastic trend seasonalilty. Inference from an inappropriate model can be shown to be invalid. Since much graphical evidence clearly suggests that seasonal fluctuations are not constant over time, the authors investigate whether the finding of seasonal unit roots can be due to neglected mean shifts. |
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