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An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment

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  • Maravall, Agustin

Abstract

The ARIMA model based methodology of programs TRAMO and SEATS for seasonal adjustment and trend cycle estimation was applied to the exports, imports, and balance of trade Japanese series in Maravall (2002). The programs were used in an automatic mode, and the results analyzed. The present paper contains an extension of the work. First, some improvements in the automatic modelling procedure are illustrated, and the models for the seasonally adjusted series and its trend cycle component are discussed (in particular, their order of integration). It is further shown how the SEATS output can be of help in model selection. Finally, the important problem of the choice between direct and indirect adjustment of an aggregate is addressed. It is concluded that, because aggregation has a strong effect on the spectral shape of the series, and because seasonal adjustment is a non linear transformation of the original series, direct adjustment is preferable, even at the cost of destroying identities between the original series.

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Bibliographic Info

Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 50 (2006)
Issue (Month): 9 (May)
Pages: 2167-2190

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Handle: RePEc:eee:csdana:v:50:y:2006:i:9:p:2167-2190

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  1. Ghysels, Eric, 1997. "Seasonal Adjustment and Other Data Transformations," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(4), pages 410-18, October.
  2. Javier Andres & J. David López-Salido & Edward Nelson, 2004. "Tobin's imperfect asset substitution in optimizing general equilibrium," Working Papers 2004-003, Federal Reserve Bank of St. Louis.
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  4. Robert-Paul Berben & Alberto Locarno & Julian Morgan & Javier Vallés, 2005. "Cross-country differences in monetary policy transmission," Banco de Espa�a Working Papers 0502, Banco de Espa�a.
  5. Enrique Alberola & Luis Molina & Daniel Navia, 2005. "Say you fix, enjoy and relax: the deleterious effect of peg announcements on fiscal discipline," Banco de Espa�a Working Papers 0523, Banco de Espa�a.
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  9. D. S. G. Pollock, 2002. "A review of TSW: the Windows version of the TRAMO-SEATS program," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(3), pages 291-299.
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  11. Ghysels,Eric & Osborn,Denise R., 2001. "The Econometric Analysis of Seasonal Time Series," Cambridge Books, Cambridge University Press, number 9780521562607, April.
  12. Dolado, Juan J. & Jansen, Marcel & Jimeno, Juan F., 2005. "Dual Employment Protection Legislation: A Framework for Analysis," IZA Discussion Papers 1564, Institute for the Study of Labor (IZA).
  13. John Geweke, 1978. "The Temporal and Sectoral Aggregation of Seasonally Adjusted Time Series," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 411-432 National Bureau of Economic Research, Inc.
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  15. Agustín Maravall & Cristophe Planas, 1996. "Estimation Error and the Specification of Unobserved Component Models," Banco de Espa�a Working Papers 9608, Banco de Espa�a.
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  17. Camacho Maximo & Perez Quiros Gabriel, 2007. "Jump-and-Rest Effect of U.S. Business Cycles," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(4), pages 1-39, December.
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Cited by:
  1. V. Eldon Ball & Carlos San Juan Mesonada & Camilo A. Ulloa, 2011. "Agricultural productivity in the United States: catching-up and the business cycle," Economics Working Papers we1116, Universidad Carlos III, Departamento de Economía.
  2. Bujosa, Marcos & Garcia-Ferrer, Antonio & Young, Peter C., 2007. "Linear dynamic harmonic regression," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 999-1024, October.
  3. Aguilera, Ana M. & Escabias, Manuel & Valderrama, Mariano J., 2008. "Forecasting binary longitudinal data by a functional PC-ARIMA model," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3187-3197, February.
  4. Hayat, Aziz & Bhatti, M. Ishaq, 2013. "Masking of volatility by seasonal adjustment methods," Economic Modelling, Elsevier, vol. 33(C), pages 676-688.
  5. Agustín Maravall & Ana del Río, 2007. "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Banco de Espa�a Working Papers 0728, Banco de Espa�a.

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