Why do Jem and Scout feel guilty when Mr. Avery tells them that children who disobey, smoke, and make war on each other can cause the seasons change?

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In chapter eight, Maycomb experiences its coldest weather since 1885, which surprises the entire community. Mr. Avery had told the children that it was written on the Rosetta Stone that when children disobeyed their parents, smoked cigarettes, made war on each other, the seasons would change. He implies that Jem and Scout are responsible for the bad weather. Scout mentions,

Jem and I were burdened with the guilt of contributing to the aberrations of nature, thereby causing unhappiness to our neighbors and discomfort to ourselves. (Lee, 65)

The children naively believe Mr. Avery's superstitious comment and are burdened with the guilt of causing the unfavorably cold weather. Jem and Scout are too young and naive to realize that Mr. Avery is not telling the truth, and they believe that their bad behavior has caused the cold weather.

It becomes so cold in Maycomb that it eventually snows. The following day after the snowfall, school is canceled and the children proceed to build a snowman out of mud and snow. Jem ends up constructing the snowman to resemble Mr. Avery and Atticus forces him to alter its design.

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They felt guilty because since 1885 Maycomb had not reported any snow during Winter. Yet, during the specific winter when the action of the story takes place there was a bit of snow mounted in the yards that was identified as "flurry". It was very minimal, but it was big enough for Mr. Avery to find in it a consistent proof of what he had been proposing: That bad behavior in children is what makes the weather change.

Therefore, to see this sudden change in Maycomb(although small) was a big deal for the children whose behaviors were no different than any other child, but were chastised probably much harshly than children are chastised in modern times. For this reason, the kids felt that their "bad behavior" was the causative factor for this onset of snow after so many years.

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