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

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 tes...

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Bibliographic Details
Published in:Statistical papers (Berlin, Germany) Germany), 2006-06, Vol.47 (3), p.393-417
Main Authors: Bruno, Giancarlo, Otranto, Edoardo
Format: Article
Language:English
Subjects:
Experiments
Fourier analysis
Fourier transforms
Heuristic
Monte Carlo simulation
Studies
Time series
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Summary: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. [PUBLICATION ABSTRACT]
ISSN:0932-5026
1613-9798
DOI:10.1007/s00362-006-0295-x