Re: [Gretl-users] Seasonality test in gretl
On Tue, 16 Oct 2012, Sven Schreiber wrote:
(I don't know if there is some predefined test for seasonality in
gretl
-- in the case of OLS models one way might be to just add seasonal
dummies and do an F-test for their significance.)
Fourier stuff is not even remotely as popular as seasonal dummies, but I
personally much prefer it for monthly (or higher-frequency) data and yes,
it's just an F-test.
Example:
<hansl>
open bjg.gdt
series years = time/12
series ann1 = sin(2*pi*years)
series ann2 = cos(2*pi*years)
series sem1 = sin(4*pi*years)
series sem2 = cos(4*pi*years)
series qua1 = sin(8*pi*years)
series qua2 = cos(8*pi*years)
list SEAS = ann1 ann2 sem1 sem2 qua1 qua2
ols lg const time --robust
add SEAS # rejection -> seasonality
</hansl>
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Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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