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Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process

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  • Ghysels, E.
  • Granger, C.W.J.
  • Siklos, P.L.

Abstract

The authors investigate whether seasonal adjustment procedures are linear data transformations. This question was addressed by A. H. Young (1968) and is important for the estimation of regression models with seasonally adjustment data. The authors focus on the X-11 program and rely on simulation evidence, involving linear unobserved component autorgressive integrated moving average models. They define and test a set of properties for the adequacy of a linear approximation to a seasonal adjustment filter. Next, the authors study the effect of X-11 on regression statistics assessing the statistical significance between economic variables. Several empirical results involving economic data are also reported.

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File URL: http://hdl.handle.net/1866/2081
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Bibliographic Info

Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 9517.

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Length: 31 pages
Date of creation: 1995
Date of revision:
Handle: RePEc:mtl:montde:9517

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  1. Sargent, Thomas J, 1989. "Two Models of Measurements and the Investment Accelerator," Journal of Political Economy, University of Chicago Press, vol. 97(2), pages 251-87, April.
  2. Ghysels, Eric, 1997. "Seasonal Adjustment and Other Data Transformations," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(4), pages 410-18, October.
  3. Grether, D M & Nerlove, M, 1970. "Some Properties of 'Optimal' Seasonal Adjustment," Econometrica, Econometric Society, vol. 38(5), pages 682-703, September.
  4. Ghysels, Eric & Perron, Pierre, 1993. "The effect of seasonal adjustment filters on tests for a unit root," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 57-98.
  5. Boyer, Marcel & Laffont, Jean-Jacques, 1997. "Environmental risks and bank liability," European Economic Review, Elsevier, vol. 41(8), pages 1427-1459, August.
  6. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
  7. Burridge, Peter & Wallis, Kenneth F, 1984. "Unobserved-Components Models for Seasonal Adjustment Filters," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 350-59, October.
  8. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  9. Bell, William R & Hillmer, Steven C, 1984. "Issues Involved with the Seasonal Adjustment of Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 291-320, October.
  10. Fisher, T.C.G. & Martel, J., 1994. "The Creditors' Financial Reorganization Decision: New Evidence from Canadian Data," Cahiers de recherche 9417, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  11. Kathy Cannings & Sophie Mahseredjian & Claude Montmarquette, 1994. "Major Choices : Undergraduate Concentrations and the Probability of Graduation," CIRANO Working Papers 94s-09, CIRANO.
  12. 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.).
  13. Vogelsang, T.J. & Perron, P., 1994. "Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time," Cahiers de recherche 9422, Universite de Montreal, Departement de sciences economiques.
  14. Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, vol. 56(3), pages 269-290, April.
  15. Brock, W.A. & Dechert, W.D. & LeBaron, B. & Scheinkman, J.A., 1995. "A Test for Independence Based on the Correlation Dimension," Working papers 9520, Wisconsin Madison - Social Systems.
  16. Ghysels, E. & Lieberman, O., 1993. "Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples," Cahiers de recherche 9335, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  17. Maravall, Agustin, 1988. "A note on minimum mean squared error estimation of signals with unit roots," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 589-593.
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