On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation with U.S. Data
It is well known that mis-specification of a trend leads to spurious cycles in detrended data (see, e.g., Nelson and Kang (1981). Seasonal-adjustment procedures make assumptions, either implicitly or explicitly, about roots on the unit circle both at the zero and seasonal frequencies. Consequently, seasonal-adjustment procedures may produce spurious seasonal variation and other statistically undesirable effects. In this paper we document, for a large class of widely used U.S. quarterly macroeconomic series, the effects of competing seasonal-adjustment procedures on the univariate time-series properties of the adjusted series. We also investigate which procedures are most appropriate given the properties of the data. Overall, we find very significant differences and evidence that several U.S. macroeconomic time series contain a mixture of deterministic and stochastic seasonal components.
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Volume (Year): 18 (1993)
Issue (Month): 4 ()
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"Spurious Periodicity in Inappropriately Detrended Time Series,"
Econometric Society, vol. 49(3), pages 741-51, May.
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2688, National Bureau of Economic Research, Inc.
- Engle, R. F. & Granger, C. W. J. & Hylleberg, S. & Lee, H. S., 1993. "The Japanese consumption function," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 275-298.
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- Ramey, Valerie A, 1989. "Inventories as Factors of Production and Economic Fluctuations," American Economic Review, American Economic Association, vol. 79(3), pages 338-54, June.
- 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.
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