The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools
AbstractA typical problem of the seasonal adjustment procedures arises when the observed series is subject to structural breaks. In fact, using the full time interval, the seasonal adjusted series can differ from the "true" seasonal adjusted series, with unclear evidence showed by the usual diagnostic tests. Often the researcher has to decide where cut-off the observed series to obtain a homogeneous span; this is generally performed by a simple visual inspection studies of the graph of the series. 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 InfoPaper provided by ISTAT - Italian National Institute of Statistics - (Rome, ITALY) in its series ISAE Working Papers with number 21.
Length: 21 pages
Date of creation: Jun 2001
Date of revision:
Linear filters; Structural break; Distance.;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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- Luciana Crosilla, 2006. "The seasonality of ISAE business and consumer surveys: methodological aspects and empirical evidence," ISAE Working Papers 68, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
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