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From |
"Nick Cox" <n.j.cox@durham.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: RE: seasonality |

Date |
Fri, 1 Apr 2005 17:50:16 +0100 |

Your example and your explanation show more clearly what is of interest to you. I think this is now mainly a question for people who work with this kind of data. But I find it difficult to see how you can test for seasonality without some time series model of what else is going on, which I don't see here. I don't know what F-test you have in mind, but classical anova is surely vitiated by serial dependence. I can't add more. Nick n.j.cox@durham.ac.uk kelly johnson > 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. > > regards > > kelly > > Date Returns > December-04 0.072894168 > January-00 0.041277259 > >From: "Nick Cox" <n.j.cox@durham.ac.uk> > >Reply-To: statalist@hsphsun2.harvard.edu > >To: <statalist@hsphsun2.harvard.edu> > >Subject: st: RE: seasonality > >Date: Fri, 1 Apr 2005 16:57:48 +0100 > > > >Welcome back after your hiatus. > > > >To centre a variable you need to go > > > >su y, meanonly > >gen yc = y - r(mean) > > > >except that this is such a common need > >that users have created commands to > >do that for you. For example, look at Ben Jann's > >-center- on SSC: > > > >. ssc desc center > > > >Your question about seasonality is much > >fuzzier. There are lots of different ways > >of testing for seasonality. In the > >environmental sciences, I would usually > >try fitting sine and cosine terms given > >2 * pi * (position in year / length of year). > >That is, also, I guess a congenial approach > >for most natural scientists. > > > >With economic or social data other methods appear > >more common, and may or may not be more > >appropriate. People seem happier with looking > >at lags 4, 12, whatever depending on whether > >data are quarterly, monthly, whatever. That may > >be what SAS command proc x12 does. But > >the adjustments seem much more complicated > >given complications like holidays that are > >irrelevant outside the human sphere. > > > >In any case, graphics are often useful > >for getting a handle on seasonality and > >often surprising neglected by people like > >economists. > > > >Without knowing more about your data > >or your research problem this is rather too > >large a question to answer well. In short, the > >question may be quick but the answer isn't. > > > >Nick > >n.j.cox@durham.ac.uk > > > >kelly johnson > > > > > I am returning to stata after a hatus of a couple of years. I > > > had two quick questions: > > > > > > Suppose I am using a stream of time seies data for a single > > > varible (Data, Variable1): > > > > > > (1) suppose i wanted to generate a new varible that equale > > > variable1 - the > > > mean of varible1. how do i do this (without having to create > > > a whole column > > > with only the mean of variable1 in it)? > > > > > > (2) is there an easy wasy to test for seasonality? in sas we > > > have the proc > > > x12 command? what's a quickand eqasy way to test for > > > seasonality in data? * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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