Is seasonal adjustment a linear or nonlinear data-filtering process?

被引:42
作者
Ghysels, E
Granger, CWJ
Siklos, PL
机构
[1] CTR INTERUNIV RECH ANAL ORGANISAT,MONTREAL,PQ H3A 2A5,CANADA
[2] UNIV CALIF SAN DIEGO,DEPT ECON,LA JOLLA,CA 92093
[3] WILFRID LAURIER UNIV,DEPT ECON,WATERLOO,ON N2L 3C5,CANADA
关键词
aggregation; cointegration; nonlinearity; regression; X-11; filter;
D O I
10.2307/1392449
中图分类号
F [经济];
学科分类号
02 ;
摘要
We investigate whether seasonal-adjustment procedures are, at least approximately, linear data transformations. This question was initially addressed by Young and is important with respect to many issues including estimation of regression models with seasonally adjusted data. We focus on the X-11 program and rely on simulation evidence, involving linear unobserved component autoregressive integrated moving average models. We define a set of properties for the adequacy of a linear approximation to a seasonal-adjustment filter. These properties are examined through statistical tests. Next, we study the effect of X-11 seasonal adjustment on regression statistics assessing the statistical significance of the relationship between economic variables. Several empirical results involving economic data are also reported.
引用
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页码:374 / 386
页数:13
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