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Seasonality in dynamic regression models

Harvey, Andrew C. and Scott, Andrew (1994) Seasonality in dynamic regression models. CEPDP, 184. Centre for Economic Performance, London School of Economics and Political Science, London, UK.

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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
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Sets: Departments > Law
Collections > Economists Online
Research centres and groups > Centre for Economic Performance (CEP)
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Identification Number: 184
Date Deposited: 18 Aug 2008 15:59
URL: http://eprints.lse.ac.uk/20921/

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