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Stability and Consistency of Seasonally Adjusted Aggregates and Their Component Patterns

Author

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  • Cleveland William P.

    (Federal Reserve Board,Washington D.C.)

Abstract

In situations where groups of economic time series are likely to have seasonal dynamics in common, use of seasonal information across series in estimating their seasonal factors should improve the seasonal factor estimates for individual series. Such information sharing can also be the basis for consistent seasonal adjustment of combinations of series. It also provides information about dominant seasonal patterns in component series. A methodology based on principal component analysis, developed earlier by the author with Eric Bartelsman, is applied to series of price indexes and production indexes from EU countries. Evidence of common structure is revealed. The implications of common estimation of seasonal factors are explored.

Suggested Citation

  • Cleveland William P., 2004. "Stability and Consistency of Seasonally Adjusted Aggregates and Their Component Patterns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-19, May.
    • Handle: RePEc:bpj:sndecm:v:8:y:2004:i:2:n:15
    DOI: 10.2202/1558-3708.1206
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    References listed on IDEAS

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    1. 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.
    2. Bell, William R & Hillmer, Steven C, 1984. "Issues Involved with the Seasonal Adjustment of Time Series: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 343-349, October.
    3. Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December.
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