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The consequences of seasonal adjustment for periodic autoregressive processes

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  • Tomas del Barrio Castro
  • Denise R. Osborn

Abstract

This paper examines the effect of X-11 seasonal adjustment on periodic autoregressive processes, using both analytic techniques and simulation. Analytical results show that adjustment reduces (but does not eliminate) periodicity in the coefficients of a stationary PAR(1) process, and it generally moves the coefficients towards unity. A nonstationary periodically integrated process is converted into a process with a conventional unit root and induced periodic heteroscedasticity. Simulations confirm that, for finite samples, evidence of periodicity in the coefficients and in residual heteroscedasticity may remain after adjustment, but periodic variation in long-run coefficients is annihilated. The overall conclusion is that adjustment alters, but does not destroy, periodic properties. Copyright Royal Economic Socciety 2004

Suggested Citation

  • Tomas del Barrio Castro & Denise R. Osborn, 2004. "The consequences of seasonal adjustment for periodic autoregressive processes," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 307-321, December.
    • Handle: RePEc:ect:emjrnl:v:7:y:2004:i:2:p:307-321
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    Cited by:

    1. Tucker McElroy & Anindya Roy, 2022. "A Review of Seasonal Adjustment Diagnostics," International Statistical Review, International Statistical Institute, vol. 90(2), pages 259-284, August.
    2. Tomas del Barrio Castro & Denise R. Osborn, 2006. "A Random Walk through Seasonal Adjustment: Noninvertible Moving Averages and Unit Root Tests," Economics Discussion Paper Series 0612, Economics, The University of Manchester.
    3. D. S. G. Pollock, 2016. "Econometric Filters," Computational Economics, Springer;Society for Computational Economics, vol. 48(4), pages 669-691, December.
    4. Daniel Dzikowski & Carsten Jentsch, 2024. "Structural Periodic Vector Autoregressions," Papers 2401.14545, arXiv.org.
    5. Mirza, Faisal Mehmood & Bergland, Olvar, 2011. "The impact of daylight saving time on electricity consumption: Evidence from southern Norway and Sweden," Energy Policy, Elsevier, vol. 39(6), pages 3558-3571, June.
    6. Alain Hecq & Sean Telg & Lenard Lieb, 2017. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," Econometrics, MDPI, vol. 5(4), pages 1-22, October.

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