Seasonal adjustment of Indian macroeconomic time-series
Macroeconomic analysis benefits from seasonal adjustment. Month- on-month changes of economic time series yield faster information about developments in the economy, but the values have exaggerated variance when annual seasonality is present. In this paper, we show the full process for seasonal adjustment for four important Indian time-series. We find that significant reductions of variance are obtained by using black box seasonal adjustment, at the risk of failure for some time series. Thorough knowledge about seasonal adjustment yields more reliable answers, and a roughly 15% improvement in the volatility of month-on-month changes.
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.:
- Giancarlo Bruno & Edoardo Otranto, 2006.
"The choice of time interval in seasonal adjustment: A heuristic approach,"
Springer, vol. 47(3), pages 393-417, June.
- Giancarlo bruno & Edoardo Otranto, 2004. "The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach," Econometrics 0402008, EconWPA.
- 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.
- Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
- Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
- 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.
- Pami Dua & Anirvan Banerji, 2001. "An Indicator Approach to Business and Growth Rate Cycles: The Case of India," Indian Economic Review, Department of Economics, Delhi School of Economics, vol. 36(1), pages 55-78, January.
- Canova, Fabio & Hansen, Bruce E, 1995. "Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 237-252, July.
- Bhattacharya, Rudrani & Patnaik, Ila & Shah, Ajay, 2008. "Early warnings of inflation in India," Working Papers 08/54, National Institute of Public Finance and Policy.
- Ajay Shah & Ila Patnaik & Rudrani Bhattacharya, 2008. "Early Warnings of Inflation in India," Working Papers id:1682, eSocialSciences.
- 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.
- Shruthi Jayaram & Ila Patnaik & Ajay Shah, 2009. "Examining the decoupling hypothesis for India," Trade Working Papers 22972, East Asian Bureau of Economic Research.
- Ajay Shah & Ila Patnaik & Shruthi Jayaram, 2009. "Examining the Decoupling Hypothesis for India," Working Papers id:2119, eSocialSciences.
- Jayaram, Shruthi & Patnaik, Ila & Shah, Ajay, 2009. "Examining the decoupling hypothesis for India," Working Papers 09/61, National Institute of Public Finance and Policy.
When requesting a correction, please mention this item's handle: RePEc:npf:wpaper:16/160. 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: (S.Siva Chidambaram)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.