SPURIOUS DETERMINISTIC SEASONALITY

被引：24

作者：

FRANSES, PH

HYLLEBERG, S

LEE, HS

机构：

[1] AARHUS UNIV,INST ECON,AARHUS,DENMARK

[2] TULANE UNIV,DEPT ECON,NEW ORLEANS,LA 70118

来源：

ECONOMICS LETTERS | 1995年 / 48卷 / 3-4期

关键词：

SEASONAL DUMMIES; STOCHASTIC SEASONALITY;

D O I：

10.1016/0165-1765(94)00638-I

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

It is sometimes assumed that the R(2) of a regression of a first-order differenced time series on seasonal dummy variables reflects the amount of seasonal fluctuations that can be explained by deterministic variation in the series. In this paper we show that neglecting the presence of seasonal unit roots may yield spuriously high values of this coefficient.

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页码：249 / 256

页数：8

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