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Ajuste Estacional e Integración en Variables Macroeconómicas

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Raimundo Soto

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Abstract

The importance of separating secular from seasonal movements in macroeconomic data cannot be understated. For policy purposes, filtering the data is of paramount importance both to analyse macroeconomic fluctuations and to model and quantify the responses of the economy to policy shocks. Despite its importance, seasonality is usually considered at best a nuisance that must be removed from the data before its use. Removing seasonal components is, however, not a trivial task. This paper presents evidence that popular methods to remove seasonality are not harmless procedures and that important information is lost in the filtering of the series. Modern techniques suggest, moreover, that these methods alter our understanding of the relationship among macroeconomic variables and in response to policy shocks. In particular, econometric results suggest that most variables present unit roots not only in their long-run component but also at semi-annual and seasonal frequencies. Consequently, the analysis and simulation of policy models undertaken with seasonally adjusted data should be carefully complemented with the analysis of non-filtered data.

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Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 73.

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Date of creation: Jun 2000
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Handle: RePEc:chb:bcchwp:73

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  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)
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(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!]
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  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!]
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