Advanced Search
MyIDEAS: Login

Transformations and seasonal adjustment

Contents:

Author Info

  • Tommaso Proietti
  • Marco Riani

Abstract

We address the problem of seasonal adjustment of a nonlinear transformation of the original time series, measured on a ratio scale, which aims at enforcing two essential features: additivity and orthogonality of the components. The posterior mean and variance of the seasonally adjusted series admit an analytic finite representation only for particular values of the transformation parameter, e.g. for a fractional Box-Cox transformation parameter. Even if available, the analytical derivation can be tedious and difficult. As an alternative we propose to compute the two conditional moments of the seasonally adjusted series by means of numerical and Monte Carlo integration. The former is both fast and reliable in univariate applications. The latter uses the algorithm known as the 'simulation smoother' and it is most useful in multivariate applications. We present two case studies dealing with robust seasonal adjustment under the square root and the fourth root transformation. Our overall conclusion is that robust seasonal adjustment under transformations is feasible from the computational standpoint and that the possibility of transforming the scale ought to be considered as a further option for improving the quality of seasonal adjustment. Copyright 2009 The Authors. Journal compilation 2009 Blackwell Publishing Ltd

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9892.2008.00600.x
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Wiley Blackwell in its journal Journal of Time Series Analysis.

Volume (Year): 30 (2009)
Issue (Month): 1 (01)
Pages: 47-69

as in new window
Handle: RePEc:bla:jtsera:v:30:y:2009:i:1:p:47-69

Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782

Order Information:
Web: http://www.blackwellpublishing.com/subs.asp?ref=0143-9782

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Tommaso Proietti & Helmut L�tkepohl, 2011. "Does the Box-Cox transformation help in forecasting macroeconomic time series?," Working Papers 08/2011, University of Sydney Business School, Discipline of Business Analytics, revised Oct 2011.
  2. Siem Jan Koopman & Kai Ming Lee, 2008. "Seasonality with Trend and Cycle Interactions in Unobserved Components Models," Tinbergen Institute Discussion Papers 08-028/4, Tinbergen Institute.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:30:y:2009:i:1:p:47-69

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.