The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach
AbstractA typical problem of the seasonal adjustment procedures arises when the series to be adjusted is subject to structural breaks. In fact, using the full span of the series can result in a biased estimation of the ”true” seasonal adjusted series, with unclear evidence showed by the usual diagnostic tests. In these cases the researcher has to decide where to cut-o the observed series to obtain a homogeneous span; this is generally performed by a simple visual inspection studies of the graph of the series and/or using a-priori information about the occurrence of the break. 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 EconWPA in its series Econometrics with number 0402008.
Length: 14 pages
Date of creation: 17 Feb 2004
Date of revision:
Note: Type of Document - pdf; prepared on WinXP; to print on Laser witer II NP; pages: 14; figures: 4 figures in the document. PDF document submitted via ftp
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Linear filters; Structural break; Distance.;
Other versions of this item:
- Giancarlo Bruno & Edoardo Otranto, 2006. "The choice of time interval in seasonal adjustment: A heuristic approach," Statistical Papers, Springer, vol. 47(3), pages 393-417, June.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-02-23 (All new papers)
- NEP-ECM-2004-02-23 (Econometrics)
- NEP-ETS-2004-02-23 (Econometric Time Series)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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