From: Kit Baum <[email protected]>
Reply-To: [email protected]
To: [email protected]
Subject: st: Re: seasonality
Date: Sat, 2 Apr 2005 09:14:14 -0500
The textbook treatment of seasonality in economic and financial time series
involves creating a set of seasonal dummies (you need 3 for Q, 11 for M)
and then regressing your series on that set of dummies. Add the original
mean back into the series and you have a deseasonalized series of stock
returns.
One can deal with additive seasonality (which would be more appropriate for
your returns series) or multiplicative seasonality (which would be more
appropriate for levels series, such as stock prices). The latter is
achieved by regressing log(Y) on the dummies, exponentiating the residuals,
and adding back the mean of the original series.
Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
On Apr 2, 2005, at 2:33 AM, Kelly wrote:
thank you for your reply. i express my seasonality question a bit clearer.
suppose we are looking at five years of stock retruns data. how can we
test
for teh presence of seasonality in specific months?
if i were to do the typical adjustment, i'd first calculated the average
over teh entire time period, and divide my returns by that average. call
the
new variable rtn_adj. then i would have to average, by month, to get the
seasonl adjsutement indices for each month (which should sum up to 12). i
can then retruns and multiply teh original data by each of the appropriate
seasonal adjsutemtn factor. My question: is there a simpler was to do
this?
also, how can i do f-test to test teh presence of seasonality? to give
youa
better idea, i'm attaching a sample of the data to give you an idea what
i'm
looking at.
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