Multivariate Seasonal Adjustment, Economic Identities, and Seasonal Taxonomy

Tucker McElroy ()

Journal of Business & Economic Statistics, 2017, vol. 35, issue 4, 611-625

Abstract: This article extends the methodology for multivariate seasonal adjustment by exploring the statistical modeling of seasonality jointly across multiple time series, using latent dynamic factor models fitted using maximum likelihood estimation. Signal extraction methods for the series then allow us to calculate a model-based seasonal adjustment. We emphasize several facets of our analysis: (i) we quantify the efficiency gain in multivariate signal extraction versus univariate approaches; (ii) we address the problem of the preservation of economic identities; (iii) we describe a foray into seasonal taxonomy via the device of seasonal co-integration rank. These contributions are developed through two empirical studies of aggregate U.S. retail trade series and U.S. regional housing starts. Our analysis identifies different seasonal subcomponents that are able to capture the transition from prerecession to postrecession seasonal patterns. We also address the topic of indirect seasonal adjustment by analyzing the regional aggregate series. Supplementary materials for this article are available online.

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:taf:jnlbes:v:35:y:2017:i:4:p:611-625

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DOI: 10.1080/07350015.2015.1123159

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