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The choice of time interval in seasonal adjustment: A heuristic approach

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Abstract

A typical problem of the seasonal adjustment procedures arises when the series to be adjusted is subject to structural breaks. In fact, using the full span of the series can result in a biased estimation of the “true” seasonally adjusted series, with unclear evidence showed by the usual diagnostic tests. In these cases the researcher has to decide where to cut-off the observed series to obtain a homogeneous span; this is generally performed by a simple visual inspection of the graph of the series and/or using a-priori information about the occurrence of the break. In this paper we propose a statistical criterion based on a distance measure between filters, evaluating its performance with Monte Carlo experiments.

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Authors and Affiliations

  1. Institute of Studies and Economic Analysis (ISAE), Piazza dell'Indipendenza, 4, 00185, Rome, Italy

    Giancarlo Bruno

  2. Dipartimento Economia, Impresa e Regolamentazione (DEIR), University of Sassari, Via Sardegna, 59, 70100, Sassari, Italy

    Edoardo Otranto

Authors
  1. Giancarlo Bruno
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  2. Edoardo Otranto
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Corresponding author

Correspondence to Edoardo Otranto.

Additional information

The first results of this work have been presented at the XL scientific meeting of the Italian statistical society, Florence, 26–28 April 2000, benefiting of the discussion arisen there; a preliminary version of this paper circulated as ISAE working paper No. 21/2001 with the title “The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools”. We thank an anonymous referee for precious suggestions. The authors are solely responsible of any remaining error.

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Bruno, G., Otranto, E. The choice of time interval in seasonal adjustment: A heuristic approach. Statistical Papers 47, 393–417 (2006). https://doi.org/10.1007/s00362-006-0295-x

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  • DOI: https://doi.org/10.1007/s00362-006-0295-x

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