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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. Camacho, Maximo & Pérez-Quirós, Gabriel, 2005. "Jump-and-Rest Effects of US Business Cycles," CEPR Discussion Papers 4975, C.E.P.R. Discussion Papers.
  2. Canova, Fabio & Ciccarelli, Matteo & Ortega, Eva, 2004. "Similarities and Convergence in G7 Cycles," CEPR Discussion Papers 4534, C.E.P.R. Discussion Papers.
  3. 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.).
  4. Agustín Maravall, 1996. "Unobserved Components in Economic Time Series," Banco de España Working Papers 9609, Banco de España.
  5. Buisan, Ana & Caballero, Juan C. & Campa, Jose M. & Jimenez, Noelia, 2004. "La importancia de la histéresis en las exportaciones de manufacturas de los países de la UEM," IESE Research Papers D/561, IESE Business School.
  6. 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.
  7. 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.
  8. Ghysels,Eric & Osborn,Denise R., 2001. "The Econometric Analysis of Seasonal Time Series," Cambridge Books, Cambridge University Press, number 9780521562607.
  9. Ghysels, E., 1993. "Seasonal Adjustment and Other Data Transformations," Cahiers de recherche 9322, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  10. Pierce, David A., 1980. "Data revisions with moving average seasonal adjustment procedures," Journal of Econometrics, Elsevier, vol. 14(1), pages 95-114, September.
  11. 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.
  12. Javier Andres & J. David López-Salido & Edward Nelson, 2005. "Sticky-price models and the natural rate hypothesis," Working Papers 2005-018, Federal Reserve Bank of St. Louis.
  13. Robert-Paul Berben & Alberto Locarno & Julian Morgan & Javier Valles, 2004. "Cross-country differences in monetary policy transmission," Working Paper Series 400, European Central Bank.
  14. Dolado, Juan José & 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).
  15. 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.
  16. 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.
  17. 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.
  18. Enrique Alberola & Luis Molina & Daniel Navia, 2005. "Say You Fix, Enjoy And Relax The Deleterious Effect Of Peg Announcements On Fiscal Discipline," International Finance 0509001, EconWPA.
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  21. Víctor Gómez & Agustín Maravall, 1998. "Automatic Modeling Methods for Univariate Series," Banco de España Working Papers 9808, Banco de España.
  22. 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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Cited by:
  1. 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.
  2. repec:ner:carlos:info:hdl:10016/11809 is not listed on IDEAS
  3. Agustín Maravall & Ana del Río, 2007. "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Banco de España Working Papers 0728, Banco de España.
  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. 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.

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