Several seasonal adjustment strategies in problematic contexts

Giancarlo Lutero and Alessandro Piovani ()

MPRA Paper from University Library of Munich, Germany

Abstract: The past few years have been marked by the occurrence of many unexpected events that have had many social and economic repercussions, with the COVID-19 pandemic and rising tensions in energy commodity markets standing out above the others. This period of great uncertainty has also had a considerable effect on the production of official economic statistics, undermining the goodness and the predictive capacity of short-term stochastic models. In this condition of extreme unpredictability, there is a need for a strategy of monitoring and reviewing the seasonal adjustment models and anomalous observations, especially over the period 2020-2023. In this work several intervention strategies were defined and tested, focusing over series that manifested a distinct break in their dynamic. Temporary level shifts, included with their lagged versions, have proven to be a particularly useful tool. The outcomes reveal that the policies we considered are effective, and the TRAMO-SEATS procedure manages to be helpful in both ordinary and extraordinary conditions. The whole data analysis has been conducted with JDemetra+ that is a complete and flexible tool in performing several statistical estimates and tests.

Keywords: Seasonal adjustment; structural breaks; outlier detection; intervention variables; JDemetra+ (search for similar items in EconPapers)
JEL-codes: C51 C52 (search for similar items in EconPapers)
Date: 2025-01-16
New Economics Papers: this item is included in nep-ets
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https://mpra.ub.uni-muenchen.de/123354/1/MPRA_paper_123354.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/123386/1/MPRA_paper_123386.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/123391/3/MPRA_paper_123391.pdf revised version (application/pdf)

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