IDEAS home Printed from https://ideas.repec.org/p/npf/wpaper/16-160.html
   My bibliography  Save this paper

Seasonal adjustment of Indian macroeconomic time-series

Author

Listed:
  • Bhattacharya, Rudrani

    (National Institute of Public Finance and Policy)

  • Pandey, Radhika

    (National Institute of Public Finance and Policy)

  • Patnaik, Ila

    (National Institute of Public Finance and Policy)

  • Shah, Ajay

    (National Institute of Public Finance and Policy)

Abstract

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.

Suggested Citation

  • Bhattacharya, Rudrani & Pandey, Radhika & Patnaik, Ila & Shah, Ajay, 2016. "Seasonal adjustment of Indian macroeconomic time-series," Working Papers 16/160, National Institute of Public Finance and Policy.
    • Handle: RePEc:npf:wpaper:16/160
    Note: Working Paper 160, 2016
    as

    Download full text from publisher

    File URL: http://www.nipfp.org.in/media/medialibrary/2016/01/WP_2016_160.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Vikas Chitre, 2001. "Indicators of Business Recessions and Revivals in India: 1951-1982," Indian Economic Review, Department of Economics, Delhi School of Economics, vol. 36(1), pages 79-105, January.
    2. Central Bureau for Health Intelligence (CBHI), 2015. "The National Health Profile 2015," Working Papers id:7552, eSocialSciences.
    3. Patnaik, Ila & Shah, Ajay, 2013. "The investment technology of foreign and domestic institutional investors in an emerging market," Journal of International Money and Finance, Elsevier, vol. 39(C), pages 65-88.
    4. 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.
    5. Don K Mak, 2003. "The Science of Financial Market Trading," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 5178, January.
    6. Shruthi Jayaram, 2009. "Examining the Decoupling Hypothesis for India," Working Papers id:2119, eSocialSciences.
    7. Bell, William R & Hillmer, Steven C, 1984. "Issues Involved with the Seasonal Adjustment of Time Series: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 343-349, October.
    8. Regina Kaiser & Agustín Maravall, 2000. "Notes on Time Series Analysis, ARIMA Models and Signal Extraction," Working Papers 0012, Banco de España.
    9. 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.
    10. 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.
    11. Bhattacharya, Rudrani & Patnaik, Ila & Shah, Ajay, 2008. "Early warnings of inflation in India," Working Papers 08/54, National Institute of Public Finance and Policy.
    12. Barend Abeln & Jan P.A.M. Jacobs, 2015. "Seasonal adjustment with and without revisions: A comparison of X-13ARIMA-SEATS and CAMPLET," CIRANO Working Papers 2015s-35, CIRANO.
    13. 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.
    14. Giancarlo Bruno & Edoardo Otranto, 2006. "The choice of time interval in seasonal adjustment: A heuristic approach," Statistical Papers, Springer, vol. 47(3), pages 393-417, June.
    15. 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.
    16. Bhattacharya, Rudrani & Patnaik, Ila, 2013. "Credit constraints, productivity shocks and consumption volatility in emerging economies," Working Papers 13/121, National Institute of Public Finance and Policy.
    17. Bhadra, Kaushik K., 2015. "Inequality Effects of Fiscal Policy: Analysing the Benefit Incidence on Health Sector in India," Working Papers 15/158, National Institute of Public Finance and Policy.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Radhika Pandey & Ila Patnaik & Ajay Shah, 2019. "Business Cycle Measurement in India," Societies and Political Orders in Transition, in: Sergey Smirnov & Ataman Ozyildirim & Paulo Picchetti (ed.), Business Cycles in BRICS, pages 121-152, Springer.
    2. Pandey, Radhika & Patnaik, Ila & Shah, Ajay, 2019. "Measuring business cycle conditions in India," Working Papers 19/269, National Institute of Public Finance and Policy.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Taylor, A. M. Robert, 2005. "Variance ratio tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, vol. 124(1), pages 33-54, January.
    2. Cho, Sungwon, 1998. "Time-series implications of the permanent income hypothesis on durable goods consumption," ISU General Staff Papers 1998010108000012849, Iowa State University, Department of Economics.
    3. Méndez Parra, Maximiliano, 2015. "Futures prices, trade and domestic supply of agricultural commodities," Economics PhD Theses 0115, Department of Economics, University of Sussex Business School.
    4. Mendez Parra, Maximiliano, 2015. "Seasonal Unit Roots and Structural Breaks in agricultural time series: Monthly exports and domestic supply in Argentina," MPRA Paper 63831, University Library of Munich, Germany, revised 06 Apr 2015.
    5. Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2009. "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(5), pages 683-713, October.
    6. Tucker McElroy & Anindya Roy, 2022. "A Review of Seasonal Adjustment Diagnostics," International Statistical Review, International Statistical Institute, vol. 90(2), pages 259-284, August.
    7. 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.
    8. Paulo Rodrigues & Denise Osborn, 1999. "Performance of seasonal unit root tests for monthly data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(8), pages 985-1004.
    9. Evren Erdoğan Cosar, 2006. "Seasonal behaviour of the consumer price index of Turkey," Applied Economics Letters, Taylor & Francis Journals, vol. 13(7), pages 449-455.
    10. Ghysels, E., 1993. "A Time Series Model with Periodic Stochastic Regime Switching," Cahiers de recherche 9314, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    11. Guglielmo M. Caporale & Luis A. Gil‐Alana, 2004. "Testing for Seasonal Fractional Roots in German Real Output," German Economic Review, Verein für Socialpolitik, vol. 5(3), pages 319-333, August.
    12. Rodrigues, Paulo M. M. & Taylor, A. M. Robert, 2004. "Alternative estimators and unit root tests for seasonal autoregressive processes," Journal of Econometrics, Elsevier, vol. 120(1), pages 35-73, May.
    13. Kavussanos, Manolis G. & Alizadeh-M, Amir H., 2002. "Seasonality patterns in tanker spot freight rate markets," Economic Modelling, Elsevier, vol. 19(5), pages 747-782, November.
    14. Gabriel Pons Rotger, 2004. "Seasonal Unit Root Testing Based on the Temporal Aggregation of Seasonal Cycles," Economics Working Papers 2004-1, Department of Economics and Business Economics, Aarhus University.
    15. Ghassen El Montasser, 2015. "The Seasonal KPSS Test: Examining Possible Applications with Monthly Data and Additional Deterministic Terms," Econometrics, MDPI, vol. 3(2), pages 1-16, May.
    16. Susi Gorbey & Doug James & Jacques Poot, 1999. "Population Forecasting with Endogenous Migration: An Application to Trans-Tasman Migration," International Regional Science Review, , vol. 22(1), pages 69-101, April.
    17. L. A. Gil-Alana & P. M. Robinson, 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 95-114.
    18. Luis A. Gil-Alana & Juncal Cunado & Fernando Perez de Gracia, 2008. "Tourism in the Canary Islands: forecasting using several seasonal time series models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 621-636.
    19. Arnade, Carlos & Pick, Daniel, 1998. "Seasonality and unit roots: the demand for fruits," Agricultural Economics, Blackwell, vol. 18(1), pages 53-62, January.
    20. Gianluca Cubadda, 2001. "Common Features In Time Series With Both Deterministic And Stochastic Seasonality," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 201-216.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. 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.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: S.Siva Chidambaram (email available below). General contact details of provider: http://www.nipfp.org.in .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.