Identifying the Sources of Seasonal Effects in an indirectly adjusted Chain-Linked Aggregate: A Framework for the Annual Overlap Method
The use of chain-linked methods reduces significantly the problem of price structure obsolescence present in fixed base environments. However, price updating introduces a new dimension that may produce confusion if not accounted for. Probably the most notorious difficulty generated by the introduction of chain-linked indices to the measurement of GDP has been that the aggregate is not the direct sum of its components, thus not only making it harder to explain its behaviour but also making it more cumbersome to work with the series in a consistent manner. Because of the non-additivity of the components, one of the processes that have been affected is that of the indirect seasonal adjustment. This document presents a consistent framework to identify and track down the sources of seasonal effects to its components in an aggregate measure chain-linked using the annual overlap method. This is done based on the decomposition of component’s contributions and the indirect seasonal adjustment. The framework allows separating the effects on growth rates into non-systematic seasonal effects, systematic seasonality and changes in systematic seasonality.
|Date of creation:||23 Aug 2014|
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- 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.
- 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.
- Marcus Cobb, 2014. "GDP Forecasting Bias due to Aggregation Inaccuracy in a Chain- Linking Framework," Working Papers Central Bank of Chile 721, Central Bank of Chile.
- Marcus Cobb & Maribel Jara, 2013. "Ajuste estacional de series macroeconómicas chilenas," Economic Statistics Series 98, Central Bank of Chile.
- Cobb, Marcus, 2014. "Explaining GDP Quarterly Growth from its Components in the Context of the Annual Overlap Method: A Comparison of Approaches," MPRA Paper 58022, University Library of Munich, Germany.
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