Permanent components in seasonal variables
We propose considering a seasonal time series as the realization of a s-variate stochastic process, s being the seasonal periodo In this paper we propose a test statistic for the hypothesis of a univariate versus a multivariate representation of seasonality. We find evidence against the more standar...
| Autores: | , |
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| Tipo de recurso: | informe técnico |
| Fecha de publicación: | 1994 |
| País: | España |
| Institución: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/64151 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/64151 |
| Access Level: | acceso abierto |
| Palabra clave: | Análisis de Series temporales Procesos estocásticos. Procesos estocásticos 1208.08 Procesos Estocásticos |
| Sumario: | We propose considering a seasonal time series as the realization of a s-variate stochastic process, s being the seasonal periodo In this paper we propose a test statistic for the hypothesis of a univariate versus a multivariate representation of seasonality. We find evidence against the more standard univariate representation for some key variables of the U.S. economy. When a VAR representation is chosen for each of these variables and its residuals are properly orthogonalized, forecasting perfomance is improved, relative to univariate ARIMA models. Also, a Permanent-Transitory decomposition of each variable reveals that permanent components exhibit important seasonal fluctuations. This supports the view that seasonality should be considered as an integral part of agents' decision-making. |
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