Seasonal Adjustment and Other Data Transformations

Eric Ghysels ()

Journal of Business & Economic Statistics, 1997, vol. 15, issue 4, 410-18

Abstract: In this paper, it is shown that the case for using optimal signal extraction filters is not all that convincing once it is recognized that seasonal adjustment is typically not the only transformation applied to data. Seasonal adjustment is viewed as any general linear filter. All other data transformations are also assumed to be linear. While optimal filters always dominate uniform filters, their dominance critically depends on performing seasonal adjustment and the other data transformations in the right sequence. The conclusions of the author's paper make a strong case in favor of the wide practice of uniform filtering.

Date: 1997
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Working Paper: Seasonal Adjustment and Other Data Transformations (1993)
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