Applying and interpreting model-based seasonal adjustment. The euro-area industrial production series

Agustin Maravall () and Domingo Pérez Cañete
Additional contact information
Domingo Pérez Cañete: Banco de España

No 1116, Working Papers from Banco de España

Abstract: The recent economic crisis has altered the dynamics of economic series and, as a consequence, introduced uncertainty in seasonal adjustment of recent years. This problem was discussed in recent workshops at the European Central Bank and at Eurostat in the context of adjustment of the Euro Area Industrial Production (EPI) series. Because a seasonal component is unobserved and undefi ned, it is diffi cult to compare results from different adjustment methods. Within the regARIMA model-based approach, however, a framework for systematic analysis and comparison of results is indeed present. The EPI series is analyzed under the TRAMO-SEATS framework. The purpose of the analysis is not to compare alternative methods, but to show how the results of the model-based analysis can be exploited at the identifi cation, diagnostics, and inference stages of modeling, and in the selection of an appropiate seasonal adjustment (and underlying model). Despite the uncertainty induced by the crisis (and the revisions to the unadjusted data), the automatic procedure, with ramps to capture the spectacular 2008 drop in the series, provides excellent and stable results.

Keywords: Time series analysis; Seasonal adjustment; Regression-ARIMA models; Filtering and smoothing; program TSW (search for similar items in EconPapers)
JEL-codes: C22 C52 C87 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2011-07
New Economics Papers: this item is included in nep-cba, nep-ecm and nep-eec
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.bde.es/f/webbde/SES/Secciones/Publicaci ... /11/Fich/dt1116e.pdf First version, July 2011 (application/pdf)

Related works:
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:bde:wpaper:1116

Access Statistics for this paper

More papers in Working Papers from Banco de España Contact information at EDIRC.
Bibliographic data for series maintained by Ángel Rodríguez. Electronic Dissemination of Information Unit. Research Department. Banco de España ().