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Re: st: re: seasonal dummies


From   "uuphd2002" <uuphd2002@yahoo.com.cn>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: re: seasonal dummies
Date   Mon, 04 Apr 2005 11:24:38 -0000

hi,

I think the paper "seasonality in economic models", Macroeconomic 
dynamics, 8, 2004, 362-394, answers all your questions about 
seasonality.
bests

--- In statalist@yahoogroups.com, 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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