A Comparison Between Direct and Indirect Seasonal Adjustment of the Chilean GDP 1986–2009 with X-12-ARIMA

Carlos A. Medel ()

Journal of Business Cycle Research, 2018, vol. 14, issue 1, No 2, 47-87

Abstract: Abstract It is well known among practitioners that the seasonal adjustment applied to economic time series involves several decisions to be made by the econometrician. As such, it would always be desirable to have an informed opinion on the risks taken by each of those decisions. In this paper, I assess which disaggregation strategy delivers the best results for the case of the Chilean 1986–2009 GDP quarterly dataset (base year: 2003). This is done by performing an aggregate-by-disaggregate analysis under different schemes, as the fixed base year dataset allows this fair comparison. The analysis is based on seasonal adjustment diagnostics contained in the X-12-ARIMA program plus some statistical tests for robustness. This exercise is relevant for conjunctural economic assessment, as it concerns signal extraction from seasonal, noisy series, direction of change detection, and econometric applications based on reliable and accurate unobserved variables. The results show that it is preferable, in terms of stability, to use the first block of supply-side disaggregation, while demand-side disaggregation tends to be less reliable. This result carries important implications for policymakers aiming to evaluate its short-term effectiveness in both households and firms.

Keywords: Seasonal adjustment; Univariate time-series models; ARMA; X-12-ARIMA (search for similar items in EconPapers)
JEL-codes: C14 C18 C49 C65 C87 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s41549-018-0023-3 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
Working Paper: A Comparison Between Direct and Indirect Seasonal Adjustment of the Chilean GDP 1986-2009 with X-12-ARIMA (2014)
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: https://EconPapers.repec.org/RePEc:spr:jbuscr:v:14:y:2018:i:1:d:10.1007_s41549-018-0023-3

Ordering information: This journal article can be ordered from
http://www.springer. ... nomics/journal/41549

DOI: 10.1007/s41549-018-0023-3

Access Statistics for this article

Journal of Business Cycle Research is currently edited by Michael Graff

More articles in Journal of Business Cycle Research from Springer, Centre for International Research on Economic Tendency Surveys (CIRET)
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().