The choice of time interval in seasonal adjustment: A heuristic approach |
| |
Authors: | Giancarlo Bruno Edoardo Otranto |
| |
Institution: | (1) Institute of Studies and Economic Analysis (ISAE), Piazza dell'Indipendenza, 4, 00185 Rome, Italy;(2) Dipartimento Economia, Impresa e Regolamentazione (DEIR), University of Sassari, Via Sardegna, 59, 70100 Sassari, Italy |
| |
Abstract: | A typical problem of the seasonal adjustment procedures arises when the series to be adjusted is subject to structural breaks.
In fact, using the full span of the series can result in a biased estimation of the “true” seasonally adjusted series, with
unclear evidence showed by the usual diagnostic tests. In these cases the researcher has to decide where to cut-off the observed
series to obtain a homogeneous span; this is generally performed by a simple visual inspection of the graph of the series
and/or using a-priori information about the occurrence of the break. In this paper we propose a statistical criterion based
on a distance measure between filters, evaluating its performance with Monte Carlo experiments.
The first results of this work have been presented at the XL scientific meeting of the Italian statistical society, Florence,
26–28 April 2000, benefiting of the discussion arisen there; a preliminary version of this paper circulated as ISAE working
paper No. 21/2001 with the title “The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools”. We thank
an anonymous referee for precious suggestions. The authors are solely responsible of any remaining error. |
| |
Keywords: | Linear filters Structural break Distance |
本文献已被 SpringerLink 等数据库收录! |
|