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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. Maravall, Agustin & Planas, Christophe, 1999. "Estimation error and the specification of unobserved component models," Journal of Econometrics, Elsevier, vol. 92(2), pages 325-353, October.
  2. Andres, Javier & Lopez-Salido, J. David & Nelson, Edward, 2005. "Sticky-price models and the natural rate hypothesis," Journal of Monetary Economics, Elsevier, vol. 52(5), pages 1025-1053, July.
  3. William R. Bell & Donald E. K. Martin, 2004. "Computation of asymmetric signal extraction filters and mean squared error for ARIMA component models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 603-623, 07.
  4. Berben, Robert-Paul & Locarno, Alberto & Morgan, Julian & Vallés, Javier, 2004. "Cross-country differences in monetary policy transmission," Working Paper Series 0400, European Central Bank.
  5. Pierce, David A., 1980. "Data revisions with moving average seasonal adjustment procedures," Journal of Econometrics, Elsevier, vol. 14(1), pages 95-114, September.
  6. Maravall, Agustin, 1987. "Minimum Mean Squared Error Estimation of the Noise in Unobserved Component Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(1), pages 115-20, January.
  7. Hillmer, Steven C, 1985. "Measures of Variability for Model-based Seasonal Adjustment Procedures," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(1), pages 60-68, January.
  8. 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.
  9. John Geweke, 1979. "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.
  10. Canova, Fabio & Ciccarelli, Matteo & Ortega, Eva, 2004. "Similarities and convergence in G-7 cycles," Working Paper Series 0312, European Central Bank.
  11. Ana Buisán & Juan Carlos Caballero & José Manuel Campa & Noelia Jiménez, 2004. "La importancia de la histéresis en las exportaciones de manufacturas de los países de la UEM," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(2), pages 169-222, abril-jun.
  12. Ghysels,Eric & Osborn,Denise R., 2001. "The Econometric Analysis of Seasonal Time Series," Cambridge Books, Cambridge University Press, number 9780521565882, October.
  13. Juan J. Dolado & Marcel Jansen & Juan F. Jimeno, 2005. "Dual employment protection legislation: a framework for analysis," Banco de Espa�a Working Papers 0510, Banco de Espa�a.
  14. 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.
  15. 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.
  16. Bell, William R & Hillmer, Steven C, 1984. "Issues Involved with the Seasonal Adjustment of Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 291-320, October.
  17. Andrés, Javier & López-Salido, J David & Nelson, Edward, 2004. "Tobin's Imperfect Asset Substitution in Optimizing General Equilibrium," CEPR Discussion Papers 4336, C.E.P.R. Discussion Papers.
  18. David A. Pierce, 1978. "Seasonal Adjustment When Both Deterministic and Stochastic Seasonality Are Present," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 242-280 National Bureau of Economic Research, Inc.
  19. Ghysels, Eric, 1997. "Seasonal Adjustment and Other Data Transformations," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(4), pages 410-18, October.
  20. David A. Pierce, 1978. "Seasonal adjustment when both deterministic and stochastic seasonality are present," Special Studies Papers 107, Board of Governors of the Federal Reserve System (U.S.).
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Cited by:
  1. Maravall, A. & del Rio, A., 2007. "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 975-998, October.
  2. 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.
  3. Hayat, Aziz & Bhatti, M. Ishaq, 2013. "Masking of volatility by seasonal adjustment methods," Economic Modelling, Elsevier, vol. 33(C), pages 676-688.
  4. 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.
  5. 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.

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