The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach

Giancarlo Bruno () and Edoardo Otranto ()

Econometrics from EconWPA

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” seasonal adjusted series, with unclear evidence showed by the usual diagnostic tests. In these cases the researcher has to decide where to cut-o the observed series to obtain a homogeneous span; this is generally performed by a simple visual inspection studies 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.

Keywords: Linear filters; Structural break; Distance. (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2004-02-17
Note: Type of Document - pdf; prepared on WinXP; to print on Laser witer II NP; pages: 14; figures: 4 figures in the document. PDF document submitted via ftp

Downloads: (external link)
http://129.3.20.41/eps/em/papers/0402/0402008.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0402008

Access Statistics for this paper

More papers in Econometrics from EconWPA
Series data maintained by EconWPA ().