[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
Kit Baum <baum@bc.edu> |

To |
statalist@hsphsun2.harvard.edu |

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.

* * 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/

**Follow-Ups**:**RE: st: Re: seasonality***From:*"kelly johnson" <econometrics@hotmail.com>

- Prev by Date:
**st: question about udpate** - Next by Date:
**st: Re: including EPS in pdflatex** - Previous by thread:
**RE: st: RE: seasonality** - Next by thread:
**RE: st: Re: seasonality** - Index(es):

© Copyright 1996–2014 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |