Econ 427 lecture 8 slides

1
Econ 427 lecture 8 slides

• Seasonal Adjustment

2
Seasonal Models

• Weve estimated models of deterministic trend and
  seasonal behavior like
• How can we use such models to obtain a
  seasonally-adjusted data series?
• What should that look like?
• What features of the data should be
  included/excluded?

3
Seasonal Adjustment

• The residuals from the model regression will have
  been purged of seasonal factors
• but also of the constant and trend terms.
• You can build a seasonally-adjusted series by
  adding back the constant and trend behavior to
  the regression residuals

4
Seasonal Adjustment Procedures

• Often, more complex and flexible seasonal
  adjustment procedures are used
• Census X-11 and X-12 ARIMA procedures
• These deal with various forms of seasonality and
  also weekend, holiday and other effects
• A brief overview of the Census X-11 procedure is
  at http//www.statsoftinc.com/textbook/sttimser.ht
  mlx.
• Also explained in full EViews documentation
  although not built into the student version.