The seasonality of ISAE business and consumer surveys: methodological aspects and empirical evidence

Luciana Crosilla ()
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Luciana Crosilla: ISAE - Institute for Studies and Economic Analyses\par

No 68, ISAE Working Papers from ISTAT - Italian National Institute of Statistics - (Rome, ITALY)

Abstract: The aim of this work is to explain and assess the results of the application of the TRAMO-SEATS seasonal adjustment method on the data of the ISAE manufacturing business and consumer surveys. In particular, the study begins by focusing on the description of some of the typical problems of the seasonal adjustment of qualitative series, in relation to the operational choices to be made when applying the procedure ( the \lquote trading day effect\rquote , logarithmic transformation of the series, choice of a temporal interval etc ) making the choices explicit for the series of analysis. Subsequently, the characteristics of the seasonal component of the series will be analysed; special attention is given to the identification of the non-stationary seasonality of each series by using a procedure which consists in the extension of a test of the Dickey-Fuller kind to verify the unit roots at the seasonal frequencies. Later, on the basis of the considerations which have been made and on the results which have been previously obtained, the models which have been obtained applying Tramo-Seats will then be described highlighting the flexibility of the method in grasping the stochastic characteristics of the seasonality of the series.

Keywords: Seasonal adjustment; ARIMA models; Survey; Tramo-Seats (search for similar items in EconPapers)
JEL-codes: C22 C42 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2006-05
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