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

Medel, Carlos A.

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

MPRA Paper from University Library of Munich, Germany

Abstract: It is well known among practitioners that the seasonal adjustment applied to economic time series could involve several decisions to be made by the econometrician. In this paper, I assess which aggregation strategy delivers the best results for the case of the Chilean GDP 1986-2009 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 exclusively on seasonal adjustment diagnostics contained in X-12-ARIMA program. A detailed description of the program and its quality assessment are also provided. The results show that it is preferred, in terms of stability, to use the first block of supply-side disaggregation as well as the direct mode.

Keywords: Seasonal adjustment; univariate time-series models; ARMA; X-12-ARIMA (search for similar items in EconPapers)
JEL-codes: C14 C49 C65 C87 (search for similar items in EconPapers)
Date: 2014-07-07
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: A Comparison Between Direct and Indirect Seasonal Adjustment of the Chilean GDP 1986–2009 with X-12-ARIMA (2018)
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