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Further Evidence on Seasonal Adjustment of Time Series Data

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  • Rochester, David P.
  • Hadaway, Samuel C.

Abstract

The purpose of this paper is to provide evidence that the Bureau of the Census' X–ll program for seasonal adjustment [3] overstates the incidence of seasonality in some forms of times series data. This problem arises in a recent study by Bonin and Moses [1] (hereafter B-M) indicating that 7 of the 30 Dow Jones Industrial stocks exhibited persistent seasonal patterns during the period July 1962 through June 1971.

Suggested Citation

  • Rochester, David P. & Hadaway, Samuel C., 1978. "Further Evidence on Seasonal Adjustment of Time Series Data," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(1), pages 133-141, March.
    • Handle: RePEc:cup:jfinqa:v:13:y:1978:i:01:p:133-141_00
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    Cited by:

    1. Charles P. Jones & Jack W. Wilson, 1989. "An Analysis Of The January Effect In Stocks And Interest Rates Under Varying Monetary Regimes," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(4), pages 341-354, December.
    2. Benoit Faye & Éric Le Fur, 2010. "L'étude du lien entre cycle et saisonnalité sur un marché immobilier résidentiel. Le cas de l'habitat ancien à Bordeaux," Revue d'économie régionale et urbaine, Armand Colin, vol. 0(5), pages 937-965.

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