Seasonality Revisited - Statistical Testing for Almost Periodically Correlated Stochastic Processes

• Autorzy: Łukasz Lenart , Mateusz Pipień
• Języki publikacji: EN

Abstrakty

EN

This article aims at constructing a new method for testing the statistical significance of seasonal fluctuations for non-stationary processes. The constructed test is based on a method of subsampling and on the spectral theory of Almost Periodically Correlated (APC) time series. In the article we consider an equation of a nonstationary process, containing a component which includes seasonal fluctuations and business cycle fluctuations, both described by an almost periodic function. We build subsampling test justifying the significance of frequencies obtained from the Fourier representation of the unconditional expectation of the process. The empirical usefulness of the constructed test is examined for selected macroeconomic data. The article studies survey indicators of economic climate in industry, retail trade and consumption for European countries. (original abstract)

Słowa kluczowe

EN

Stochastic processes; Business cycles; Seasonal character; Almost periodic function

PL

Procesy stochastyczne; Cykl koniunkturalny; Sezonowość; Funkcja prawie okresowa

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2013
• Tom: 5
• Numer: nr 2
• Strony: 85--102

Twórcy

autor

Łukasz Lenart

• Cracow University of Economics, Poland

autor

Mateusz Pipień

• Cracow University of Economics, Poland

Bibliografia

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Identyfikatory

DOI

DOI: 10.24425/cejeme.2013.119255