期刊名称：International Business & Economics Research Journal
印刷版ISSN：1535-0754
电子版ISSN：2157-9393
出版年度：2011
卷号：7
期号：3
语种：English
出版社：The Clute Institute for Academic Research
摘要：The shortcoming of most of the tests for seasonal patterns is that the problem under investigation is formulated in a stringent manner, leading to a test of the null hypothesis of no seasonality against the alternative of deterministic seasonality. These tests would typically involve using models that incorporate deterministic dummy variables that are then used to capture seasonal effects in the data by means of a regression. This implies that the possibility of stochastic seasonality, which is manifested by changing seasonal factors over the sample period (deterministic seasonality implies constant seasonal factors), is ignored. A possible more comprehensive/rigorous approach would thus be to test for the presence of stochastic seasonality versus deterministic seasonality. The aim of this paper is to investigate the possible presence of unobserved seasonal components in South African agricultural market data, with the emphasis to demonstrate the additional insight such an approach can provide to researchers and especially for pairs traders
