Okayama Economic Review
Published by the Economic Association of Okayama University

Online ISSN 2433-4146
Print ISSN 0386-3069

東瀬戸圏BSIにおける季節性について

西田 小百合 岡山大学文化科学研究科
藤本 利窮 広島修道大学
抄録
This paper analyzes the nature of seasonality in quarterly observations for the East Seto Area BSI series. We begin with quantitative mesures of seasonality. Most series have at least 30 percent of their non-trend variation mopped up by seasonal dummy variables alone. We turn to tests of the order of integration. Unit root tests are applied to determine whether the seasonal component in each variable exhibits stochastic nonstationality. 36 series are found to have a seasonal unit root only and the remaining series are almost stationary. This implies that the the ΔΔ(4) transform, frequently implicitly embodied in any seasonal adjustment program, leads to overdifferencing.
備考
論説 (Article)
ISSN
0386-3069
NCID
AN00032897