The choice of time interval in seasonal adjustment: A heuristic approach
AbstractA typical problem of the seasonal adjustment procedures arises when the series to be adjusted is subject to structural breaks. In fact, using the full span of the series can result in a biased estimation of the âtrueâ seasonal adjusted series, with unclear evidence showed by the usual diagnostic tests. In these cases the researcher has to decide where to cut-o the observed series to obtain a homogeneous span; this is generally performed by a simple visual inspection studies of the graph of the series and/or using a-priori information about the occurrence of the break. In this paper we propose a statistical criterion based on a distance measure between filters, evaluating its performance with Monte Carlo experiments.
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Bibliographic InfoArticle provided by Springer in its journal Statistical Papers.
Volume (Year): 47 (2006)
Issue (Month): 3 (June)
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Web page: http://www.springer.com/statistics/business/journal/362
Other versions of this item:
- Giancarlo bruno & Edoardo Otranto, 2004. "The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach," Econometrics 0402008, EconWPA.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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