A general test for univariate seasonality

  1. Flores de Frutos, Rafael
  2. Novales Cinca, Alfonso
Journal:
Documentos de Trabajo (ICAE)

ISSN: 2341-2356

Year of publication: 1995

Issue: 3

Pages: 1-16

Type: Working paper

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Abstract

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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