This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Ajuste Estacional e Integración en Variables Macroeconómicas

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Raimundo Soto () (Instituto de Economía. Pontificia Universidad Católica de Chile.)

Additional information is available for the following registered author(s):

Abstract

Separating seasonal components from other sources of economic fluctuations is crucial for both economic modeling and policy making. Practitioners treat seasonality as noise to be removed before estimating models and tend to apply deseasonalizing methods in a rather mechanic manner. Removing seasonal components is, nevertheless, not a trivial task. This technical note shows that the most popular deseasonalizing methods distort the time series properties of the variables and, thus, cannot be considered harmless procedures. Modern time-series techniques for non stationary processes are applied to the study of the seasonal components of the 15 main macroeconomic variables of the Chilean economy. The main result is that the presence of seasonal unit roots render standard deseasonalizing techniques inadequate and models based on seasonally-adjusted data unreliable.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.economia.puc.cl/index/download.asp?id_publicacion=716
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Article provided by Instituto de Economía. Pontificia Universidad Católica de Chile. in its journal Cuadernos de Economía.

Volume (Year): 39 (2002)
Issue (Month): 116 ()
Pages: 135-155
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ioe:cuadec:v:39:y:2002:i:116:p:135-155

Contact details of provider:
Postal: Avda. Vicu� Mackenna 4860, Macul, Santiago
Phone: (562) 686-4303
Fax: (562) 553-1664
Email:
Web page: http://www.economia.puc.cl/
More information through EDIRC

Order Information:
Email:

For technical questions regarding this item, or to correct its listing, contact: (Verónica Gil).

Related research
Keywords: Seasonal Unit Roots; Estimation; Time Series Models;

Other versions of this item:

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Jeffrey A. Miron & J. Joseph Beaulieu, 1995. "What Have Macroeconomists Learned about Business Cycles from the Study of Seasonal Cycles?," NBER Working Papers 5258, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March. [Downloadable!] (restricted)
  3. Franses, Philip Hans & Hoek, Henk & Paap, Richard, 1997. "Bayesian analysis of seasonal unit roots and seasonal mean shifts," Journal of Econometrics, Elsevier, vol. 78(2), pages 359-380, June. [Downloadable!] (restricted)
    Other versions:
  4. Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation, Yale University, revised Sep 1987. [Downloadable!]
    Other versions:
  5. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July. [Downloadable!] (restricted)
  6. Ghysels, Eric, 1997. "On seasonality and business cycle durations: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 79(2), pages 269-290, August. [Downloadable!] (restricted)
  7. Granger, C. W. J. & Siklos, Pierre L., 1995. "Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 357-369. [Downloadable!] (restricted)
    Other versions:
  8. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June. [Downloadable!] (restricted)
  9. Johansen, Soren & Schaumburg, Ernst, 1998. "Likelihood analysis of seasonal cointegration," Journal of Econometrics, Elsevier, vol. 88(2), pages 301-339, November. [Downloadable!] (restricted)
    Other versions:
  10. Osborn, Denise R, et al, 1988. "Seasonality and the Order of Integration for Consumption," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 50(4), pages 361-77, November.
  11. Franses, Ph.H.B.F. & Bruin, P. de & Dijk, D.J.C. van, 2000. "Seasonal smooth transition autoregression," Econometric Institute Report EI 2000-06/A Revision_Dat, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
  12. Ghysels, E., 1986. "A Study Towards a Dynamic Theory of Seasonality for Economic Time Series," Cahiers de recherche 8612, Universite de Montreal, Departement de sciences economiques.
  13. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
    Other versions:
  14. Olekalns, Nilss, 1994. "Testing for unit roots in seasonally adjusted data," Economics Letters, Elsevier, vol. 45(3), pages 273-279. [Downloadable!] (restricted)
  15. Sims, Christopher A., 1993. "Rational expectations modeling with seasonally adjusted data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 9-19. [Downloadable!] (restricted)
    Other versions:
  16. Abeysinghe, Tilak, 1991. "Inappropriate use of seasonal dummies in regression," Economics Letters, Elsevier, vol. 36(2), pages 175-179, June. [Downloadable!] (restricted)
  17. Ermini, Luigi, 1998. "A Tale of Three Seasonal Adjustment Procedures: The Case of Sweden's GDP," Working Paper Series in Economics and Finance 230, Stockholm School of Economics. [Downloadable!]
  18. Abeysinghe, Tilak, 1994. "Forecasting performance of seasonal-dummy models relative to some alternatives," Economics Letters, Elsevier, vol. 44(4), pages 365-370, April. [Downloadable!] (restricted)
  19. Abeysinghe, Tilak, 1994. "Deterministic seasonal models and spurious regressions," Journal of Econometrics, Elsevier, vol. 61(2), pages 259-272, April. [Downloadable!] (restricted)
  20. Franses, P.H. & Arno, M.A. & Hobijn, R., 1997. "Are Many Current Seasonally Adjusted Data Downward Biased?," Papers 9717/a, Erasmus University of Rotterdam - Econometric Institute.
  21. P.H.B.F. Franses & P. de Bruin & D.J.C. van Dijk, 2000. "Seasonal smooth transition autoregression," Econometric Institute Report 185, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
  22. Joseph Beaulieu, J. & Miron, Jeffrey A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 305-328. [Downloadable!] (restricted)
    Other versions:
  23. Hansen, Lars Peter & Sargent, Thomas J., 1993. "Seasonality and approximation errors in rational expectations models," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 21-55. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Rómulo A. Chumacero & Francisco A. Gallego, 2001. "Trends and Cycles in Real-Time," Working Papers Central Bank of Chile 130, Central Bank of Chile. [Downloadable!]
    Other versions:
  2. Héctor Felipe Bravo & Leonardo Luna & Víctor Correa & Francisco Ruiz, 2002. "Desestacionalización de Series Económicas: el Procedimiento Usado por el Banco Central de Chile," Working Papers Central Bank of Chile 177, Central Bank of Chile. [Downloadable!]
Statistics
Access and download statistics

Did you know? The yearly budget of IDEAS is exactly $0: it relies entirely on volunteer work.

This page was last updated on 2009-11-12.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.