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

Journal of Business and Economic Statistics

Volumn 14, Issue 3, 1996, Pages 374-386

  Ghysels, Eric ^a,b   Granger, Clive W J ^c   Siklos, Pierre L ^d  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

^b CIRANO   (Canada)

^c UNIVERSITY OF CALIFORNIA   (United States)

^d WILFRID LAURIER UNIVERSITY   (Canada)

Author keywords

Aggregation; Cointegration; Nonlinearity; Regression; X 11 filter

Indexed keywords

EID: 0030560209     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1996.10524663     Document Type: Article

References (37)

1. Andrews, D. W. K. (1991), “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation,” Econometrica, 59, 817-858.
2. Bell, W. R. (1984), “Signal Extraction for Nonstationary Time Series,” The Annals of Statistics, 13, 646-664.
3. Bell, W. R. (1992), “On Some Properties of X-11 Symmetric Linear Filters,” unpublished document, Statistical Research Division, U.S. Bureau of the Census.
4. Bell, W. R., and Hillmer, S. C. (1984), “Issues Involved With the Seasonal Adjustment of Economic Time Series,” Journal of Business & Economic Statistics, 2, 526-534.
5. Burridge, P., and Wallis, K. F. (1988), “Prediction Theory for Autoregressive Moving Average Processes,” Econometric Reviews, 1, 65-95.
6. Cleveland, W. P., and Tiao, G. C. (1976), “Decomposition of Seasonal Time Series: A Model for the X-ll Program,” Journal of the American Statistical Association, 71, 581-587.
7. Engle, R. F., and Granger, C. W. J. (1987), “Cointegration and Error Correction: Representation, Estimation and Testing,” Econometrica, 55, 251-276.
8. Ericsson, W. R., Hendry, D. F., and Tran, H. A. (1994), “Cointegration Seasonality, Encompassing, and the Demand for Money in the United Kingdom,” in Nonstationary Time Series Analysis and Cointegration, ed. C. P. Hargreaves, Oxford, U.K.: Oxford University Press, pp. 179-224.
9. Geweke, J. (1978), “The Temporal and Sectorial Aggregation of Seasonally Adjusted Time Series,” in Seasonal Analysis of Economic Time Series, ed. A. Zellner, Washington, DC: U.S. Bureau of the Census, pp. 411-427.
10. Ghysels, E. (in press), “Seasonal Adjustment and Other Data Transformations,” Journal of Business & Economic Statistics, 15.
11. Ghysels, E., and Lieberman, O. (in press), “Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples,” Econometric Theory, 12.
12. Ghysels, E., and Perron, P. (1993), “The Effect of Seasonal Adjustment Filters and Tests for a Unit Root,” Journal of Econometrics, 55, 57-98.
13. Godfrey, M. D., and Karreman, H. F. (1967), “A Spectrum Analysis of Seasonal Adjustment,” in Essays in Mathematical Economics, in Honor of Oskar Morgenstern, ed. M. Shubik, Princeton, NJ: Princeton University Press.
14. Gouriéroux, C., and Monfort, A. (1990), Séries temporelles et modèles dynamiques, Paris: Economicà.
15. Granger, C. W. J., and Hatanaka, M. (1964), Spectral Analysis of Economie Time Series, Princeton, NJ: Princeton University Press.
16. Hannan, E. (1963), “The Estimation of the Seasonal Variation in Economie Time Series,” Journal of the American Statistical Association, 58, 31-44.
17. Hannan, E. (1967), “Measurement of a Wandering Signal Amid Noise,” Journal of Applied Probability, 4, 90-102.
18. Hansen, L. P., and Sargent, T. J. (1993), “Seasonality and Approximation Errors in Rational Expectations Models,” Journal of Econometrics, 55, 21-56.
19. Hotta, L. K. (1989), “Identification of Unobserved Component Models,” Journal of Time Series Analysis, 10, 259-270.
20. Johansen, S. (1991), “Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Models,” Econometrica, 59, 1551-1580.
21. Lee, T. H., White, H., and Granger, C. W. J. (1993), “Testing for Neglected Nonlinearity in Time Series Models,” Journal of Econometrics, 56, 269-290.
22. Luukkonen, R., Saikkonan, P., and Terâsvirta, T. (1988), “Testing Linearity Against Smooth Transition Autoregressive Models,” Biometrika, 75, 491-499.
23. Macaulay, F. R. (1931), The Smoothing of Time Series, New York: National Bureau of Economic Research.
24. Maravall, A. (1988), “A Note on Minimum Mean Squared Error Estimation of Signals With Unit Roots,” Journal of Economic Dynamics and Control, 12, 589-593.
25. Nerlove, M. (1964), “Spectral Analysis of Seasonal Adjustment Procedures,” Econometrica, 32, 241-286.
26. Nerlove, M., Grether, D. M., and Carvalho, J. L. (1979), Analysis of Economic Time Series, New York: Academic Press.
27. Pierce, D. A. (1979), “Signal Extraction Error in Nonstationary Time Series,” The Annals of Statistics, 1, 1303-1320.
28. Sargent, T. J. (1989), “Two Models of Measurement and the Investment Accelerator,” Journal of Political Economy, 97, 251-287.
29. Schwert, G. W., (1987), “Effects of Model Specification on Tests for Unit Roots in Macroeconomic Data,” Journal of Monetary Economics, 20, 73-103.
30. Shiskin, J., Young, A. H., and Musgrave, J. C. (1967), “The X-l 1 Variant of the Census Method II Seasonal Adjustment Program,” Technical Paper 15, U.S. Bureau of the Census, Washington DC.
31. Sims, C. A. (1974), “Seasonality in Regression,” Journal of the American Statistical Association, 69, 618-626.
32. Sims, C. A. (1993), “Rational Expectations Modelling With Seasonally Adjusted Data,” Journal of Econometrics, 55, 9-20.
33. Sobel, E. L. (1967), “Prediction of a Noise-Distorted Multivariate Non-Stationary Signal,” Journal of Applied Probability, 4, 330-342.
34. Tsay, R. S. (1986), “Nonlinearity Tests for Time Series,” Biometrika, 73, 461-466.
35. Tsay, R. S. (1989), “Testing and Modeling Threshold Autoregressive Processes,” Journal of the American Statistical Association, 82, 590-604.
36. Wallis, K. F. (1974), “Seasonal Adjustment and Relations Between Variables,” Journal of the American Statistical Association, 69, 18-32.
37. Young, A. H. (1968), “Linear Approximations to the Census and BLS Seasonal Adjustment Methods,” Journal of the American Statistical Association, 63, 445-471.