The seasonality of ISAE business and consumer surveys: methodological aspects and empirical evidence
The aim of this work is to explain and assess the results of the application of the TRAMO-SEATS seasonal adjustment method on the data of the ISAE manufacturing business and consumer surveys. In particular, the study begins by focusing on the description of some of the typical problems of the seasonal adjustment of qualitative series, in relation to the operational choices to be made when applying the procedure ( the \lquote trading day effect\rquote , logarithmic transformation of the series, choice of a temporal interval etc ) making the choices explicit for the series of analysis. Subsequently, the characteristics of the seasonal component of the series will be analysed; special attention is given to the identification of the non-stationary seasonality of each series by using a procedure which consists in the extension of a test of the Dickey-Fuller kind to verify the unit roots at the seasonal frequencies. Later, on the basis of the considerations which have been made and on the results which have been previously obtained, the models which have been obtained applying Tramo-Seats will then be described highlighting the flexibility of the method in grasping the stochastic characteristics of the seasonality of the series.
|Date of creation:||May 2006|
|Contact details of provider:|| Postal: Via Cesare Balbo 16, Roma|
Web page: http://www.istat.it/en/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bruno Giancarlo & Edoardo Otranto, 2001. "The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools," ISAE Working Papers 21, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
- Fok, D. & Franses, Ph.H.B.F. & Paap, R., 2005. "Performance of Seasonal Adjustment Procedures: Simulation and Empirical Results," Econometric Institute Research Papers EI 2005-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Giancarlo Bruno, 2001. "Seasonal Adjustment of Italian Industrial Production Index using Tramo-Seats," ISAE Working Papers 18, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
- Cubadda, G. & Sabbatini, R., 1997. "The Seasonality of the Italian Cost-of-Living Index," Papers 313, Banca Italia - Servizio di Studi.
- Franses, Philip Hans, 1996. "Periodicity and Stochastic Trends in Economic Time Series," OUP Catalogue, Oxford University Press, number 9780198774549.
- Regina Kaiser & Agustín Maravall, 1999. "Seasonal Outliers in Time Series," Working Papers 9915, Banco de España;Working Papers Homepage.
- Bianca Maria Martelli & Gaia Rocchetti, 2006. "The ISAE Market Services Survey: Methodological Upgrading, Survey Reliability, First Empirical Results," ISAE Working Papers 71, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
- Giancarlo Bruno & Claudio Lupi, 2004.
"Forecasting industrial production and the early detection of turning points,"
Springer, vol. 29(3), pages 647-671, September.
- Bruno Giancarlo & Lupi Claudio, 2001. "Forecasting Industrial Production and the Early Detection of Turning POints," ISAE Working Papers 20, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
- Bruno, Giancarlo & Lupi, Claudio, 2003. "Forecasting Industrial Production and the Early Detection of Turning Points," Economics & Statistics Discussion Papers esdp03004, University of Molise, Dept. EGSeI.
- Giancarlo Bruno & Claudio Lupi, 2001. "Forecasting Industrial Production and the Early Detection of Turning Points," Econometrics 0110004, EconWPA.
- Franses, Philip Hans, 1991. "Seasonality, non-stationarity and the forecasting of monthly time series," International Journal of Forecasting, Elsevier, vol. 7(2), pages 199-208, August.
- Jeffrey A. Miron, 1996. "The Economics of Seasonal Cycles," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262133237, January.
- Jeffrey A. Miron, 1990. "The Economics of Seasonal Cycles," NBER Working Papers 3522, National Bureau of Economic Research, Inc.
- Regina Kaiser & Agustín Maravall, 2000. "An Application of TRAMO-SEATS: Changes in Seasonality and Current Trend-Cycle Assessment: the German Retail Trade Turnover Series," Working Papers 0011, Banco de España;Working Papers Homepage.
- Joseph Beaulieu, J. & Miron, Jeffrey A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 305-328.
- J. Joseph Beaulieu & Jeffrey A. Miron, 1992. "Seasonal Unit Roots in Aggregate U.S. Data," NBER Technical Working Papers 0126, National Bureau of Economic Research, Inc.
- Martelli, Bianca Maria, 1998. "Le Inchieste Congiunturali dell'ISCO: aspetti metodologici; Chapter 1 of: Le inchieste dell'ISCO come strumento di analisi della congiuntura economica
[The ISCO short term surveys: methodological a," MPRA Paper 16331, University Library of Munich, Germany.
- D'Elia, Enrico, 1991. "La quantificazione dei risultati dei sondaggi congiunturali: un confronto tra procedure
[Quantifying the results of tendency surveys: a comparison among different procedures]," MPRA Paper 16434, University Library of Munich, Germany.
- Paap, Richard & Franses, Philip Hans & Hoek, Henk, 1997. "Mean shifts, unit roots and forecasting seasonal time series," International Journal of Forecasting, Elsevier, vol. 13(3), pages 357-368, September.
- Malgarini, Marco & Margani, Patrizia, 2005. "Psychology, consumer sentiment and household expenditures: a disaggregated analysis," MPRA Paper 42443, University Library of Munich, Germany.
- Marco Malgarini & Patrizia Margani, 2005. "Psychology, consumer sentiment and household expenditures: a disaggregated analysis," ISAE Working Papers 58, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
- Tatiana Cesaroni & Marco Malgarini & Gaia Rocchetti, 2005. "L'inchiesta ISAE sugli investimenti delle imprese manifatturiere ed estrattive: aspetti metodologici e risultati," ISAE Working Papers 50, ISTAT - Italian National Institute of Statistics - (Rome, ITALY). Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:isa:wpaper:68. 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: (Stefania Rossetti)
If references are entirely missing, you can add them using this form.