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A Comparison Between Direct and Indirect Seasonal Adjustment of the Chilean GDP 1986-2009 with X-12-ARIMA

Listed author(s):
  • Medel, Carlos A.

It is well known among practitioners that the seasonal adjustment applied to economic time series could involve several decisions to be made by the econometrician. In this paper, I assess which aggregation strategy delivers the best results for the case of the Chilean GDP 1986-2009 quarterly dataset (base year: 2003). This is done by performing an aggregate-by-disaggregate analysis under different schemes, as the fixed base year dataset allows this fair comparison. The analysis is based exclusively on seasonal adjustment diagnostics contained in X-12-ARIMA program. A detailed description of the program and its quality assessment are also provided. The results show that it is preferred, in terms of stability, to use the first block of supply-side disaggregation as well as the direct mode.

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File URL: https://mpra.ub.uni-muenchen.de/57053/1/MPRA_paper_57053.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 57053.

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Date of creation: 07 Jul 2014
Handle: RePEc:pra:mprapa:57053
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  1. Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 127-152, April.
  2. Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 169-177, April.
  3. Marcus Scheiblecker, 2014. "Direct Versus Indirect Approach in Seasonal Adjustment," WIFO Working Papers 460, WIFO.
  4. Michael Stanger, 2007. "Empalme del PIB y de los Componentes del Gasto: Series Anuales y Trimestrales 1986-2002, Base 2003," Economic Statistics Series 55, Central Bank of Chile.
  5. Carlos A. Medel, 2013. "How informative are in-sample information criteria to forecasting? The case of Chilean GDP," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 50(1), pages 133-161, May.
  6. W. Allen Wallis & Geoffrey H. Moore, 1941. "A Significance Test for Time Series and Other Ordered Observations," NBER Chapters,in: A Significance Test for Time Series and Other Ordered Observations, pages 1-67 National Bureau of Economic Research, Inc.
  7. W. Allen Wallis & Geoffrey H. Moore, 1941. "A Significance Test for Time Series and Other Ordered Observations," NBER Books, National Bureau of Economic Research, Inc, number wall41-1, November.
  8. Clements, Michael P & Hendry, David F, 1996. "Intercept Corrections and Structural Change," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 475-494, Sept.-Oct.
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