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Activity Number: 129
Type: Topic Contributed
Date/Time: Monday, August 4, 2008 : 10:30 AM to 12:20 PM
Sponsor: Business and Economics Statistics Section
Abstract - #300975
Title: Further Results on Seasonal Time Series
Author(s): David A. Dickey*+
Companies: North Carolina State University
Address: Box 8203, Raleigh, NC, 27695-8203,
Keywords: nonstationarity ; unit roots ; asymptotics
Abstract:

Seasonal differencing is often applied when reporting, for example, monthly sales. new car sales are often reported as up or down from the same period last year. We modify the seasonal tests of Dickey, Hasza, and Fuller (1984) to investigate results for less typical, long period cases such as 1,440 minutes per day, 52 weeks per year, 365 days per year and so forth, getting some nice properties including a surprising effect of deterministic terms in the models.

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Revised September, 2008