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The seasonality of ISAE business and consumer surveys: methodological aspects and empirical evidence

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  • Luciana Crosilla

    ()
    (ISAE - Institute for Studies and Economic Analyses\par)

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    Abstract

    The aim of this work is to explain and assess the results of the application of the TRAMO-SEATS seasonal adjustment method on the data of the ISAE manufacturing business and consumer surveys. In particular, the study begins by focusing on the description of some of the typical problems of the seasonal adjustment of qualitative series, in relation to the operational choices to be made when applying the procedure ( the \lquote trading day effect\rquote , logarithmic transformation of the series, choice of a temporal interval etc ) making the choices explicit for the series of analysis. Subsequently, the characteristics of the seasonal component of the series will be analysed; special attention is given to the identification of the non-stationary seasonality of each series by using a procedure which consists in the extension of a test of the Dickey-Fuller kind to verify the unit roots at the seasonal frequencies. Later, on the basis of the considerations which have been made and on the results which have been previously obtained, the models which have been obtained applying Tramo-Seats will then be described highlighting the flexibility of the method in grasping the stochastic characteristics of the seasonality of the series.

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    File URL: http://lipari.istat.it/digibib/Working_Papers/WP_68_2006_Crosilla.pdf
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    Bibliographic Info

    Paper provided by ISTAT - Italian National Institute of Statistics - (Rome, ITALY) in its series ISAE Working Papers with number 68.

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    Length: 49 pages
    Date of creation: May 2006
    Date of revision:
    Handle: RePEc:isa:wpaper:68

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    Related research

    Keywords: Seasonal adjustment; ARIMA models; Survey; Tramo-Seats;

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    References

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    1. Regina Kaiser & Agustín Maravall, 1999. "Seasonal Outliers in Time Series," Banco de Espa�a Working Papers 9915, Banco de Espa�a.
    2. Jeffrey A. Miron, 1990. "The Economics of Seasonal Cycles," NBER Working Papers 3522, National Bureau of Economic Research, Inc.
    3. Giancarlo Bruno & Claudio Lupi, 2001. "Forecasting Industrial Production and the Early Detection of Turning Points," Econometrics 0110004, EconWPA.
    4. J. Joseph Beaulieu & Jeffrey A. Miron, 1992. "Seasonal Unit Roots in Aggregate U.S. Data," NBER Technical Working Papers 0126, National Bureau of Economic Research, Inc.
    5. Malgarini, Marco & Margani, Patrizia, 2005. "Psychology, consumer sentiment and household expenditures: a disaggregated analysis," MPRA Paper 42443, University Library of Munich, Germany.
    6. Bianca Maria Martelli & Gaia Rocchetti, 2006. "The ISAE Market Services Survey: Methodological Upgrading, Survey Reliability, First Empirical Results," ISAE Working Papers 71, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    7. Martelli, Bianca Maria, 1998. "Le Inchieste Congiunturali dell'ISCO: aspetti metodologici; Chapter 1 of: Le inchieste dell'ISCO come strumento di analisi della congiuntura economica
      [The ISCO short term surveys: methodological a
      ," MPRA Paper 16331, University Library of Munich, Germany.
    8. Paap, Richard & Franses, Philip Hans & Hoek, Henk, 1997. "Mean shifts, unit roots and forecasting seasonal time series," International Journal of Forecasting, Elsevier, vol. 13(3), pages 357-368, September.
    9. Franses, Philip Hans, 1991. "Seasonality, non-stationarity and the forecasting of monthly time series," International Journal of Forecasting, Elsevier, vol. 7(2), pages 199-208, August.
    10. Cubadda, G. & Sabbatini, R., 1997. "The Seasonality of the Italian Cost-of-Living Index," Papers 313, Banca Italia - Servizio di Studi.
    11. Bruno Giancarlo & Edoardo Otranto, 2001. "The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools," ISAE Working Papers 21, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    12. Giancarlo Bruno, 2001. "Seasonal Adjustment of Italian Industrial Production Index using Tramo-Seats," ISAE Working Papers 18, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    13. Franses, Philip Hans, 1996. "Periodicity and Stochastic Trends in Economic Time Series," OUP Catalogue, Oxford University Press, number 9780198774549.
    14. D'Elia, Enrico, 1991. "La quantificazione dei risultati dei sondaggi congiunturali: un confronto tra procedure
      [Quantifying the results of tendency surveys: a comparison among different procedures]
      ," MPRA Paper 16434, University Library of Munich, Germany.
    15. Fok, D. & Franses, Ph.H.B.F. & Paap, R., 2005. "Performance of Seasonal Adjustment Procedures: Simulation and Empirical Results," Econometric Institute Research Papers EI 2005-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    16. Tatiana Cesaroni & Marco Malgarini & Gaia Rocchetti, 2005. "L'inchiesta ISAE sugli investimenti delle imprese manifatturiere ed estrattive: aspetti metodologici e risultati," ISAE Working Papers 50, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    17. Regina Kaiser & Agustín Maravall, 2000. "An Application of TRAMO-SEATS: Changes in Seasonality and Current Trend-Cycle Assessment: the German Retail Trade Turnover Series," Banco de Espa�a Working Papers 0011, Banco de Espa�a.
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