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Seasonal Adjustment and Other Data Transformations

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  • Ghysels, E.

Abstract

In this paper, it is shown that the case for using optimal signal extraction filters is not all that convincing once it is recognized that seasonal adjustment is typically not the only transformation applied to data. Seasonal adjustment is viewed as any general linear filter. All other data transformations are also assumed to be linear. While optimal filters always dominate uniform filters, their dominance critically depends on performing seasonal adjustment and the other data transformations in the right sequence. The conclusions of the author's paper make a strong case in favor of the wide practice of uniform filtering.

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Bibliographic Info

Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 9322.

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Length: 28 pages
Date of creation: 1993
Date of revision:
Handle: RePEc:mtl:montec:9322

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Keywords: econometrics;

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Cited by:
  1. Robin L. Lumsdaine & Eswar S. Prasad, 2003. "Identifying the Common Component of International Economic Fluctuations: A New Approach," Economic Journal, Royal Economic Society, vol. 113(484), pages 101-127, January.
  2. Ghysels, E. & Granger, C.W.J. & Siklos, P.L., 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process," Cahiers de recherche 9517, Universite de Montreal, Departement de sciences economiques.
  3. Agustín Maravall, 2005. "An application of the Tramo Seats automatic procedure; direct versus indirect adjustment," Banco de Espa�a Working Papers 0524, Banco de Espa�a.
  4. Raymund Abara, 2006. "Estimation and evaluation of asset pricing models with habit formation using Philippine data," Applied Economics Letters, Taylor & Francis Journals, vol. 13(8), pages 493-497.
  5. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, School of Economics and Management, University of Aarhus.
  6. Robin L. Lumsdaine & Eswar Prasad, 1999. "Identifying the Common Component in International Economic Fluctuations," IMF Working Papers 99/154, International Monetary Fund.

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