A simple test for stable seasonality

A simple test for stable seasonality

The adjustment of economic and social time series for seasonal variation has been and continues to be the subject of much attention. As a first step towards seasonally adjusting a series, it is essential to test for the presence of seasonality. This paper uses an ANOVA type model for seasonality in...

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Bibliographic Details
Published in:Journal of statistical planning and inference Vol. 43; no. 1; pp. 157 - 167
Main Authors: Sutradhar, B.C., MacNeil, I.B., Dagum, E.B.
Format: Journal Article Conference Proceeding
Language:English
Published: Lausanne Elsevier B.V 1995
New York,NY Elsevier Science
Amsterdam
Subjects:
Dependent quadratic forms
Exact sciences and technology
Inference from stochastic processes; time series analysis
Mathematics
Modified F-tests
Probability and statistics
Sciences and techniques of general use
Seasonal adjustments
Seasonality
Statistics
Two-way correlations
Modified F-tests
Dependent quadratic forms
Seasonal adjustments
Two-way correlations
Seasonality
Hypothesis test
ARMA model
Correlation
Seasonal variation
Time series
Quadratic form
ARIMA model
Variance analysis
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Summary:The adjustment of economic and social time series for seasonal variation has been and continues to be the subject of much attention. As a first step towards seasonally adjusting a series, it is essential to test for the presence of seasonality. This paper uses an ANOVA type model for seasonality in time series. Because autocorrelation invalidates usual ANOVA F-tests, we discuss an exact modified F-test for testing for stable seasonality. The test procedures are illustrated using two sets of data.
ISSN:0378-3758
1873-1171
DOI:10.1016/0378-3758(94)00016-O