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Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process

  • Ghysels, E.
  • Granger, C.W.J.
  • Siklos, P.L.

The authors investigate whether seasonal adjustment procedures are linear data transformations. This question was addressed by A. H. Young (1968) and is important for the estimation of regression models with seasonally adjustment data. The authors focus on the X-11 program and rely on simulation evidence, involving linear unobserved component autorgressive integrated moving average models. They define and test a set of properties for the adequacy of a linear approximation to a seasonal adjustment filter. Next, the authors study the effect of X-11 on regression statistics assessing the statistical significance between economic variables. Several empirical results involving economic data are also reported.

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Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 9517.

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Length: 31 pages
Date of creation: 1995
Date of revision:
Handle: RePEc:mtl:montec:9517
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  1. 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.
  2. Cannings, K. & Montmarquette, C. & Mahseredjian, S., 1994. "Major Choice: Undergraduate Concentrations and the Probability of Graduation," Cahiers de recherche 9419, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  3. Vogelsang, T.J. & Perron, P., 1994. "Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time," Cahiers de recherche 9422, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  4. Fisher, T.C.G. & Martel, J., 1994. "The Creditors' Financial Reorganization Decision: New Evidence from Canadian Data," Cahiers de recherche 9417, Universite de Montreal, Departement de sciences economiques.
  5. Marcel Boyer & Jean-Jacques Laffont, 1994. "Environmental Risks and Bank Liability," CIRANO Working Papers 94s-22, CIRANO.
  6. Burridge, Peter & Wallis, Kenneth F, 1983. "Unobserved-Components Models for Seasonal Adjustment Filters," The Warwick Economics Research Paper Series (TWERPS) 244, University of Warwick, Department of Economics.
  7. Ghysels, E., 1993. "Seasonal Adjustment and Other Data Transformations," Cahiers de recherche 9322, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  8. Maravall, Agustin, 1988. "A note on minimum mean squared error estimation of signals with unit roots," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 589-593.
  9. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  10. Bell, William R & Hillmer, Steven C, 1984. "Issues Involved with the Seasonal Adjustment of Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 291-320, October.
  11. David M. Grether & Marc Nerlove, 1968. "Some Properties of 'Optimal' Seasonal Adjustment," Cowles Foundation Discussion Papers 261, Cowles Foundation for Research in Economics, Yale University.
  12. Ghysels, E. & Lieberman, O., 1993. "Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples," Cahiers de recherche 9335, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  13. Neil R. Ericsson & David F. Hendry & Hong-Anh Tran, 1993. "Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom," International Finance Discussion Papers 457, Board of Governors of the Federal Reserve System (U.S.).
  14. Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, vol. 56(3), pages 269-290, April.
  15. Brock, W.A. & Dechert, W.D. & LeBaron, B. & Scheinkman, J.A., 1995. "A Test for Independence Based on the Correlation Dimension," Working papers 9520, Wisconsin Madison - Social Systems.
  16. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
  17. Sargent, Thomas J, 1989. "Two Models of Measurements and the Investment Accelerator," Journal of Political Economy, University of Chicago Press, vol. 97(2), pages 251-87, April.
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