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The choice of time interval in seasonal adjustment: A heuristic approach

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Listed author(s):
  • Giancarlo Bruno

    ()

  • Edoardo Otranto

    ()

Abstract

A 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.

(This abstract was borrowed from another version of this item.)

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File URL: http://hdl.handle.net/10.1007/s00362-006-0295-x
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Article provided by Springer in its journal Statistical Papers.

Volume (Year): 47 (2006)
Issue (Month): 3 (June)
Pages: 393-417

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Handle: RePEc:spr:stpapr:v:47:y:2006:i:3:p:393-417
DOI: 10.1007/s00362-006-0295-x
Contact details of provider: Web page: http://www.springer.com

Order Information: Web: http://www.springer.com/statistics/business/journal/362

Keywords: Linear filters; Structural break; Distance;

Other versions of this item:

Find related papers by JEL classification:
  • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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  1. Ghysels, Eric & Perron, Pierre, 1996. "The effect of linear filters on dynamic time series with structural change," Journal of Econometrics, Elsevier, vol. 70(1), pages 69-97, January.
  2. Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
  3. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
  4. Ghysels, Eric & Perron, Pierre, 1993. "The effect of seasonal adjustment filters on tests for a unit root," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 57-98.
  5. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
  6. Agustín Maravall, 1996. "Unobserved Components in Economic Time Series," Working Papers 9609, Banco de España;Working Papers Homepage.
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Cited by:

  1. Bhattacharya, Rudrani & Pandey, Radhika & Patnaik, Ila & Shah, Ajay, 2016. "Seasonal adjustment of Indian macroeconomic time-series," Working Papers 16/160, National Institute of Public Finance and Policy.

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