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Smooth Tests for Seasonality

평활 계절성 검정

Lee, Geung-Hee
이긍희

  • Received : 20101000
  • Accepted : 20101200
  • Published : 2011.02.28

Abstract

When using X-12-ARIMA for seasonal adjustment, we usually check whether the series has stable seasonality or not via D8 F-tests, Kruskal-Wallis test, and the spectral diagnostics. In this paper, we develop several smooth tests for seasonality based on a Fourier series to improve the spectral diagnostics of X-12-ARIMA. A simulation study is conducted to compare five smooth tests for seasonality and X-12-ARIMA's D8 F-test an Kruskal-Wallis test. The simulation study shows that smooth tests for seasonality performed well compared with D8 F-tests and a Kruskal-Wallis test.

Keywords

Seasonal adjustment;smooth test;spectrum;X-12-ARIMA

References

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Acknowledgement

Supported by : 한국방송통신대학교