期刊名称：Scientific Annals of the “Alexandru Ioan Cuza” University of Iasi – Economic Sciences Series
印刷版ISSN：2501-1960
电子版ISSN：2501-3165
出版年度：2007
卷号：2007
出版社：Sciendo
摘要：The purpose of this paper is to study the identification methods of the nature
of the seasonal component of a time series. These methods are represented by the
verifying tests of the unit root for the models of seasonal autoregressive
processes: the HEGY test, the Franses test, etc. In practice, it has been
demonstrated that the seasonal component is both deterministic and stochastic.
The HEGY test allows identifying the nature of seasonal variations, but it is
difficult to establish a limit between the two parts. The correct arbitration of
the test’ results of seasonal autoregressive processes, with and without a
deterministic component, makes it possible to choose the appropriate methods of
seasonal variations elimination. This aspect is highlighted by analysing the
time series defined by Romania’s quarterly exports between 1990 – 2006.
关键词：seasonal variations, deterministic seasonality, stochastic seasonality, unit
root test, HEGY test.
