hi,
I think the paper "seasonality in economic models", Macroeconomic
dynamics, 8, 2004, 362-394, answers all your questions about
seasonality.
bests
--- In [email protected], Kit Baum <kitbaum@m...> wrote:
> Kelly wrote
>
> thank you for your reply. can you please elaborate a bit more on the
> additive method to use for actual retruns. i've generated the
required
> dummy
> variables. and i've regressed my return series on the 11 dummy
> variables.
> how do i proceed from here? where do i add teh original mean
(because
> as it
> is i'm using the original series in the regression). any help would
be
> appreciated. also, is there any test for significance that can be
done
> to
> test the seasonality? a chi square test of some sort?
>
> thanks
>
> >From: Kit Baum <baum@b...>
> >Reply-To: statalist@h...
> >To: statalist@h...
> >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.
> >
>
>
> I suggest you consult any econometrics textbook that discusses
seasonal
> dummies. The residuals from the regression of y on a set of dummies
and
> a constant term are deseasonalized y. You could also extract a
trend at
> the same time by including a trend in the original regression. The
> residuals in either case will have mean zero, so if you want them
to be
> in the same ball park as the seasonal series, add the mean of the
> original series back to them.
>
> The regression has an ANOVA F statistic with the usual connotation.
If
> you also include a trend, then consult the t-stat on the trend, and
the
> F-stat for excluding the set of dummies.
>
>
> Kit Baum, Boston College Economics
> http://ideas.repec.org/e/pba1.html
>
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