IDEAS home Printed from https://ideas.repec.org/p/cwl/cwldpp/151.html
   My bibliography  Save this paper

Seasonal Adjustment of Economic Time Series and Multiple Regression

Author

Abstract

After demonstrating that any nontrivial technique for seasonally adjusting time series inevitably leads to certain distortions of the data, an effort is made to provide explicit motivation for the process of seasonal adjustment for purposes of appraising current economic conditions. Inherent advantages in terms of certain consistency requirements of a least square procedure for seasonal adjustment are pointed out. Problems encountered by the econometrician when seasonally adjusted time series are to be employed in regression analysis are also explored. The dummy variable technique for dealing with seasonal fluctuations is generalized to encompass a flexible pattern of seasonal movement. It is argued that when seasonally adjusted data rather than the dummy variable procedure are employed, there is an inherent tendency to overstate the significance of regression coefficients; a correction procedure is suggested. Consideration is given to certain special problems created by autocorrelated residuals when seasonally adjusted data are utilized in regression analysis.

Suggested Citation

  • Michael C. Lovell, 1963. "Seasonal Adjustment of Economic Time Series and Multiple Regression," Cowles Foundation Discussion Papers 151, Cowles Foundation for Research in Economics, Yale University.
  • Handle: RePEc:cwl:cwldpp:151
    Note: CFP 209.
    as

    Download full text from publisher

    File URL: https://cowles.yale.edu/sites/default/files/files/pub/d01/d0151.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. J. Johnston, 1961. "An Econometric Study of the Production Decision," The Quarterly Journal of Economics, Oxford University Press, vol. 75(2), pages 234-261.
    2. Michael C. Lovell, 1959. "Manufacturers' Inventories, Sales Expectations, and the Acceleration Principle," Cowles Foundation Discussion Papers 86, Cowles Foundation for Research in Economics, Yale University.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Mr. Yungsan Kim & Woon Gyu Choi, 2001. "Has Inventory Investment Been Liquidity-Constrained? Evidence From U.S. Panel Data," IMF Working Papers 2001/122, International Monetary Fund.
    2. Maccini, Louis J. & Moore, Bartholomew & Schaller, Huntley, 2015. "Inventory behavior with permanent sales shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 290-313.
    3. Matteo Iacoviello & Fabio Schiantarelli & Scott Schuh, 2011. "Input And Output Inventories In General Equilibrium," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(4), pages 1179-1213, November.
    4. Lown, Cara & Morgan, Donald P., 2006. "The Credit Cycle and the Business Cycle: New Findings Using the Loan Officer Opinion Survey," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(6), pages 1575-1597, September.
    5. Marwan Chacra & Maral Kichian, 2004. "A Forecasting Model for Inventory Investments in Canada," Staff Working Papers 04-39, Bank of Canada.
    6. Ball, Laurence & Croushore, Dean, 2003. "Expectations and the Effects of Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(4), pages 473-484, August.
    7. Robert P. Flood & Robert J. Hodrick, 1986. "Money and the Open Economy Business Cycle: A Flexible Price Model," NBER Working Papers 1967, National Bureau of Economic Research, Inc.
    8. Michael C. Lovell, 1964. "Determinants of Inventory Investment," NBER Chapters, in: Models of Income Determination, pages 177-231, National Bureau of Economic Research, Inc.
    9. Blinder, Alan S & Maccini, Louis J, 1991. "The Resurgence of Inventory Research: What Have We Learned?," Journal of Economic Surveys, Wiley Blackwell, vol. 5(4), pages 291-328.
    10. Humphreys, Brad R. & Maccini, Louis J. & Schuh, Scott, 2001. "Input and output inventories," Journal of Monetary Economics, Elsevier, vol. 47(2), pages 347-375, April.
    11. Guariglia, Alessandra & Mateut, Simona, 2006. "Credit channel, trade credit channel, and inventory investment: Evidence from a panel of UK firms," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2835-2856, October.
    12. JONATHAN McCARTHY & EGON ZAKRAJSEK, 2007. "Inventory Dynamics and Business Cycles: What Has Changed?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 591-613, March.
    13. Louis J. Maccini & Bartholomew J. Moore & Huntley Schaller, 2004. "The Interest Rate, Learning, and Inventory Investment," American Economic Review, American Economic Association, vol. 94(5), pages 1303-1327, December.
    14. Ian Small, 2000. "Inventory investment and cash flow," Bank of England working papers 112, Bank of England.
    15. Kenneth D. West, 1987. "Order Backlogs and Production Smoothing," NBER Working Papers 2385, National Bureau of Economic Research, Inc.
    16. Michael Lovell, 1967. "Sales Anticipations, Planned Inventory Investment, and Realizations," NBER Chapters, in: Determinants of Investment Behavior, pages 537-599, National Bureau of Economic Research, Inc.
    17. Kenneth D. West, 1993. "Inventory Models," NBER Technical Working Papers 0143, National Bureau of Economic Research, Inc.
    18. John F. Muth, 1985. "Properties of Some Short-run Business Forecasts," Eastern Economic Journal, Eastern Economic Association, vol. 11(3), pages 200-210, Jul-Sep.
    19. Alan S. Blinder & Douglas Holtz-Eakin, 1986. "Inventory Fluctuations in the United States since 1929," NBER Chapters, in: The American Business Cycle: Continuity and Change, pages 183-236, National Bureau of Economic Research, Inc.
    20. Blanchard, Olivier J, 1983. "The Production and Inventory Behavior of the American Automobile Industry," Journal of Political Economy, University of Chicago Press, vol. 91(3), pages 365-400, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cwl:cwldpp:151. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: https://edirc.repec.org/data/cowleus.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Matthew Regan (email available below). General contact details of provider: https://edirc.repec.org/data/cowleus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.