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http://dx.doi.org/10.5351/KJAS.2011.24.1.045

Smooth Tests for Seasonality  

Lee, Geung-Hee (Department of Information Statistics, Korea National Open University)
Publication Information
The Korean Journal of Applied Statistics / v.24, no.1, 2011 , pp. 45-59 More about this Journal
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;
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Times Cited By KSCI : 1  (Citation Analysis)
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