Seasonal Adjustment and Other Data Transformations
AbstractIn this paper, it is shown that the case for using optimal signal extraction filters is not all that convincing once it is recognized that seasonal adjustment is typically not the only transformation applied to data. Seasonal adjustment is viewed as any general linear filter. All other data transformations are also assumed to be linear. While optimal filters always dominate uniform filters, their dominance critically depends on performing seasonal adjustment and the other data transformations in the right sequence. The conclusions of the author's paper make a strong case in favor of the wide practice of uniform filtering.
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 15 (1997)
Issue (Month): 4 (October)
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Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main
Other versions of this item:
- Ghysels, E., 1993. "Seasonal Adjustment and Other Data Transformations," Cahiers de recherche 9322, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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- Ghysels, Eric & Granger, Clive W J & Siklos, Pierre L, 1996.
"Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 14(3), pages 374-86, July.
- Ghysels, E. & Granger, C.W.J. & Siklos, P.L., 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process," Cahiers de recherche 9517, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ghysels, E. & Granger, C.W.J. & Siklos, P.L., 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process," Cahiers de recherche 9517, Universite de Montreal, Departement de sciences economiques.
- Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?," CIRANO Working Papers 95s-19, CIRANO.
- Agustín Maravall, 2005.
"An application of the Tramo Seats automatic procedure; direct versus indirect adjustment,"
Banco de Espaï¿½a Working Papers
0524, Banco de Espa�a.
- Maravall, Agustin, 2006. "An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2167-2190, May.
- Lumsdaine, Robin L. & Prasad, Eswar, 2002.
"Identifying the Common Component of International Economic Fluctuations: A New Approach,"
IZA Discussion Papers
487, Institute for the Study of Labor (IZA).
- Robin L. Lumsdaine & Eswar S. Prasad, 2003. "Identifying the Common Component of International Economic Fluctuations: A New Approach," Economic Journal, Royal Economic Society, vol. 113(484), pages 101-127, January.
- Robin L. Lumsdaine & Eswar S. Prasad, 1997.
"Identifying the Common Component in International Economic Fluctuations,"
NBER Working Papers
5984, National Bureau of Economic Research, Inc.
- Robin L. Lumsdaine & Eswar Prasad, 1999. "Identifying the Common Component in International Economic Fluctuations," IMF Working Papers 99/154, International Monetary Fund.
- Raymund Abara, 2006. "Estimation and evaluation of asset pricing models with habit formation using Philippine data," Applied Economics Letters, Taylor & Francis Journals, vol. 13(8), pages 493-497.
- Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, School of Economics and Management, University of Aarhus.
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