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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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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- 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.
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- Raymund Abara, 2006. "Estimation and evaluation of asset pricing models with habit formation using Philippine data," Applied Economics Letters, Taylor and Francis Journals, vol. 13(8), pages 493-497.
- 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, 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.
- 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.
- 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.
- Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, School of Economics and Management, University of Aarhus.
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