Saturday, December 22, 2012

Eggnog With an Econometrics Flavour

With Christmas almost upon us I was giving some thought to a seasonally-themed post. The truth is, it's not as easy to produce one with an econometric flavour as you might think.

I suppose we could look at forecasting retail sales for the holiday season; or construct a SUR model for the market shares held by the major courier companies as they deal with all of us last-minute shoppers and givers. But I wanted something that clearly boasts "Christmas" in the title.

Interestingly (or not) there are not that many published applied econometrics papers that fit the bill. A few years ago, however, I struggled to fill this void with a paper I titled, "Testing for a Santa Claus Effect in Growth Cycles". (You can download the working paper version from here.)

The abstract tells the story:
"We examine the seasonal distribution of turning points in the post-war growth cycles of sixteen economies. Using nonparametric tests for distributions on the circle, we cannot reject a uniform distribution for the turning points for most of the countries. In the case of troughs, uniformity is supported for eleven countries, notwithstanding the unusually large number of December or January troughs. This provides evidence against a ‘Santa Claus effect’ in the growth cycle."
This was one of the first papers that I wrote that involved goodness-of-fit testing with "circular" data. You'll find other posts on this general topic here and here, if you're interested. There are a few things I'd do differently if I were writing the Santa Claus paper now - but isn't that always the case?


Reference

Giles, D. E., 2005. Testing for a Santa Claus effect in growth cycles. Economics Letters, 87, 421-426.



© 2012, David E. Giles

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