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The seasonality of ISAE business and consumer surveys: methodological aspects and empirical evidence


  • Luciana Crosilla

    () (ISAE - Institute for Studies and Economic Analyses\par)


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.

Suggested Citation

  • Luciana Crosilla, 2006. "The seasonality of ISAE business and consumer surveys: methodological aspects and empirical evidence," ISAE Working Papers 68, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
  • Handle: RePEc:isa:wpaper:68

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    References listed on IDEAS

    1. 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.
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    3. Cubadda, G. & Sabbatini, R., 1997. "The Seasonality of the Italian Cost-of-Living Index," Papers 313, Banca Italia - Servizio di Studi.
    4. Franses, Philip Hans, 1996. "Periodicity and Stochastic Trends in Economic Time Series," OUP Catalogue, Oxford University Press, number 9780198774549.
    5. Giancarlo Bruno & Claudio Lupi, 2004. "Forecasting industrial production and the early detection of turning points," Empirical Economics, Springer, vol. 29(3), pages 647-671, September.
    6. Jeffrey A. Miron, 1996. "The Economics of Seasonal Cycles," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262133237, January.
    7. 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.
    8. 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
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    9. 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.
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    12. Regina Kaiser & Agustín Maravall, 1999. "Seasonal Outliers in Time Series," Working Papers 9915, Banco de España;Working Papers Homepage.
    13. 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).
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    15. 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.
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    17. 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).
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    More about this item


    Seasonal adjustment; ARIMA models; Survey; Tramo-Seats;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C42 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Survey Methods

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