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Seasonal Adjustment and Other Data Transformations


  • Ghysels, Eric


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.

Suggested Citation

  • Ghysels, Eric, 1997. "Seasonal Adjustment and Other Data Transformations," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(4), pages 410-418, October.
  • Handle: RePEc:bes:jnlbes:v:15:y:1997:i:4:p:410-18

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    References listed on IDEAS

    1. Lin, Jin-Lung & Tsay, Ruey S, 1996. "Co-integration Constraint and Forecasting: An Empirical Examination," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 519-538, Sept.-Oct.
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    6. Clements, M.P. & Hendry, D., 1992. "On the Limitations of Comparing Mean Square Forecast Errors," Economics Series Working Papers 99138, University of Oxford, Department of Economics.
    7. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper 9525, Federal Reserve Bank of New York.
    8. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    9. Christoffersen, Peter F. & Diebold, Francis X., 1997. "Optimal Prediction Under Asymmetric Loss," Econometric Theory, Cambridge University Press, vol. 13(06), pages 808-817, December.
    10. Eric Zivot, 1996. "The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified," Econometrics 9612001, EconWPA.
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    Cited by:

    1. Ghysels, Eric & Granger, Clive W J & Siklos, Pierre L, 1996. "Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 374-386, July.
    2. 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.
    3. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, Department of Economics and Business Economics, Aarhus University.
    4. Robin L. Lumsdaine & Eswar S. Prasad, 1997. "Identifying the Common Component in International Economic Fluctuations," NBER Working Papers 5984, National Bureau of Economic Research, Inc.
    5. 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.
    6. Maravall, Agustin, 2006. "An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2167-2190, May.
    7. Roberto Astolfi & Dominique Ladiray & Gian Luigi Mazzi, 2001. "Business Cycle Extraction of Euro-Zone GDP: Direct versus Indirect Approach," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 70(3), pages 377-398.

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