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A GENERAL TEST FOR UNIVARIATE SEASONALITY
Author(s) -
Flores Rafael,
Novales Alfonso
Publication year - 1997
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/1467-9892.00037
Subject(s) - univariate , seasonality , multivariate statistics , mathematics , seasonal adjustment , econometrics , representation (politics) , statistics , covariance , series (stratigraphy) , multivariate analysis , variable (mathematics) , mathematical analysis , paleontology , politics , political science , law , biology
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 and among coefficients across equations, for a univariate representation of seasonality to be appropriate. Applied to a set of 23 UK macroeconomic variables, our test shows that a multivariate representation of seasonality should be preferred in at least eight cases. This introduces a serious questioning of standard univariate filters to estimate the seasonal component in some economic time series, and suggests the possibility of a more complex but richer way of characterizing relationships among seasonal economic variables.