A Tale of Three Seasonal Adjustment Procedures: The Case of Sweden's GDP
The paper compares the search for structural breaks in Sweden's GDP conducted with X-11 seasonally adjusted data, with seasonally unadjusted data, and with temporally aggregated data. A structural break (in 1980) is found only in the X-11 adjusted data, it is plausible to conclude that this break is due to data distortions (particularly, distortions caused by the application of the filter). However, this interpretation is only plausible a posteriori: had the seasonally unadjusted data not been available, the break found in the adjusted series could be just as well interpreted as a break in the economy and not as a break in the data. The study suggests that seasonally adjusted data should not be used when the unadjusted version is also available.
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- Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990.
"Seasonal integration and cointegration,"
Journal of Econometrics,
Elsevier, vol. 44(1-2), pages 215-238.
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- Franses, Philip Hans, 1996. "Periodicity and Stochastic Trends in Economic Time Series," OUP Catalogue, Oxford University Press, number 9780198774549.
- Franses, Ph.H.B.F. & van Dijk, D.J.C., 1997. "Do We Often Find ARCH Because Of Neglected Outliers?," Econometric Institute Research Papers EI 9706-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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