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The Correction of Chronologic Series’ Seasonal Fluctuations according to Seasonal Simultaneous Additive and Multiplicative Effects

Author

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  • Bourbonnais, R.

    (EURISCO, University of Paris-Dauphine, Place du Maréchal de Lattre de Tassigny, 75775 Paris Cedex 16)

  • Vallin, Ph.

    (LAMSADE, University of Paris-Dauphine, Place du Maréchal de Lattre de Tassigny, 75775 Paris Cedex 16)

Abstract

In this study, we set the problem of the probable existence of an additive and multiplicative mixed seasonality. In this context, we show by some simulation that the seasonality correction according to a pure additive or a pure multiplicative scheme leads to biased estimators of the coefficients and, consequently, of the calculation of seasonally adjusted series which is necessary for quantitative demand analysis. The use of an analytical resolution technique allowing simultaneous estimation of the trend coefficients and the additive and multiplicative seasonal coefficients works perfectly if the series is affected by a simple linear trend. In this case, the estimation gives the theoretical seasonal coefficients. An application study to the mobile phone market, the new product split in two markets, professional and individuals, allows evaluating the contribution of the methodology.

Suggested Citation

  • Bourbonnais, R. & Vallin, Ph., 2007. "The Correction of Chronologic Series’ Seasonal Fluctuations according to Seasonal Simultaneous Additive and Multiplicative Effects," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 4(4), pages 5-23, December.
    • Handle: RePEc:rjr:romjef:v:4:y:2007:i:4:p:5-23
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    More about this item

    Keywords

    seasonality; demand analysis; time series;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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