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Some Properties of 'Optimal' Seasonal Adjustment

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  • David M. Grether
  • Marc Nerlove

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File URL: http://cowles.econ.yale.edu/P/cd/d02b/d0261.pdf
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Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 261.

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Length: 64 pages
Date of creation: 1968
Date of revision:
Publication status: Published in Econometrica (September 1970), 38(5): 682-703
Handle: RePEc:cwl:cwldpp:261

Note: CFP 339.
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Cited by:
  1. McElroy, Tucker & Politis, Dimitris, 2013. "Spectral Density and Spectral Distribution Inference for Long Memory Time Series via Fixed-b Asymptotics," University of California at San Diego, Economics Working Paper Series qt6164c110, Department of Economics, UC San Diego.
  2. Ghysels, Eric & Granger, Clive W J & Siklos, Pierre L, 1996. "Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 374-86, July.
  3. Irma Hindrayanto & Jan Jacobs & Denise Osborn, 2014. "On trend-cycle-seasonal interactions," DNB Working Papers 417, Netherlands Central Bank, Research Department.
  4. Lawrence J. Christiano & Richard M. Todd, 2000. "The Conventional Treatment of Seasonality in Business Cycle Analysis: Does it Create Distortions?," NBER Technical Working Papers 0266, National Bureau of Economic Research, Inc.
  5. Adlai Fisher & Laurent Calvet & Benoit Mandelbrot, 1997. "Multifractality of Deutschemark/US Dollar Exchange Rates," Cowles Foundation Discussion Papers 1166, Cowles Foundation for Research in Economics, Yale University.
  6. Diebold, F.X. & Kilian, L. & Nerlove, Marc, 2006. "Time Series Analysis," Working Papers 28556, University of Maryland, Department of Agricultural and Resource Economics.
  7. Travis D. Nesmith, 2006. "Rational seasonality," Finance and Economics Discussion Series 2007-04, Board of Governors of the Federal Reserve System (U.S.).
  8. P. Isard & B. Lowrey & P.A.V.B. Swamy, 1975. "Theory and estimation of the demand for imports of consumer goods," International Finance Discussion Papers 61, Board of Governors of the Federal Reserve System (U.S.).
  9. Neil R. Ericsson & David F. Hendry & Hong-Anh Tran, 1993. "Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom," International Finance Discussion Papers 457, Board of Governors of the Federal Reserve System (U.S.).
  10. Erich Spörndli, 1979. "Konjunkturdiagnose und -prognose in der Schweiz: Die Verwendung quantitativer Indikatoren," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 115(III), pages 323-350, September.
  11. Jerry A. Hausman & Mark W. Watson, 1983. "Seasonal Adjustment with Measurement Error Present," NBER Working Papers 1133, National Bureau of Economic Research, Inc.

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