dp11-12.pdf (194.24 kB)
Download file

Alternative Methods of Seasonal Adjustment

Download (194.24 kB)
report
posted on 20.04.2011, 11:41 by D.S.G. Pollock, Emi Mise
Alternative methods for the seasonal adjustment of economic data are described that operate in the time domain and in the frequency domain. The time-domain method, which employs a classical comb filter, mimics the effects of the model-based procedures of the SEATS– TRAMO and STAMP programs. The frequency-domain method eliminates the sinusoidal elements of which, in the judgement of the user, the seasonal component is composed. It is proposed that, in some circumstances, seasonal adjustment is best achieved by eliminating all elements in excess of the frequency that marks the upper limit of the trend-cycle component of the data. It is argued that the choice of the method seasonal adjustment is liable to affect the determination of the turning points of the business cycle.

History

Publisher

Dept. of Economics, University of Leicester

Available date

20/04/2011

Publisher version

http://www.le.ac.uk/ec/research/discussion/Papers2011.html

Book series

Papers in Economic;11/12

Language

en