Harvey, Andrew C. and Scott, A. (1994) Seasonality in dynamic regression models. CEPDP (184). London School of Economics and Political Science. Centre for Economic Performance, London, UK.
Full text not available from this repository.Abstract
This paper examines the implications of treating seasonality as an unobserved component which changes slowly over time. This approach simplifies the specification of dynamic relationships by separating non-seasonal from seasonal factors. We illustrate this approach using the consumption model of Davidson et al (1978) and estimate a stable error correction model between consumption, income and prices over the period 1958-92. More generally, we argue that autoregressive models are unlikely to successfully model slowly changing seasonality, and may confound seasonal effects with the dynamic responses of prime interest. Our approach can be used in a wide range of cases and we show that there is little loss in efficiency even if seasonality is deterministic.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Official URL: | http://cep.lse.ac.uk |
| Additional Information: | © 1994 the authors |
| Divisions: | Centre for Economic Performance |
| Subjects: | H Social Sciences > HB Economic Theory |
| Date Deposited: | 18 Aug 2008 15:59 |
| Last Modified: | 11 Dec 2024 18:20 |
| URI: | http://eprints.lse.ac.uk/id/eprint/20921 |
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