topic Seasonal Factors in SAS Forecasting and Econometrics

Seasonal Factors

gwcanalytics — Tue, 08 Jul 2014 13:48:08 GMT

What have you found to be the best way to determine seasonal patterns in data?

Re: Seasonal Factors

stat_sas — Tue, 08 Jul 2014 14:28:44 GMT

I think we can't generalize which is the best way but as an initial point, data on a graph can give information about seasonal/cyclic patterns.

Re: Seasonal Factors

user24feb — Tue, 08 Jul 2014 14:53:27 GMT

I think one statistally right way would be a seasonal Unit-Root-Test:

Proc Arima Data=<Data_Set>;

Identify Var=<Variable> Stationarity=(ADF=(1) DLag=12); /* Augmented Dickey-Fuller-Test with 1 autoregressive term; monthly data */

Identify Var=<Variable> (1) Stationarity=(ADF=(1) DLag=12); /* -"- in 1st differences */

Run;

There are other tests as well (and simpler methods). For example if you have quaterly data and carry out a trend regression you might check the dummy-coefficients for statistical significance.

Re: Seasonal Factors

user24feb — Tue, 08 Jul 2014 15:17:25 GMT

P.S.: I guess you are aware that your question is a tricky one. If you ask your question this way, it is almost certain that the respondent puts his/her statistical reputation on the line. 🙂