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Alternative Methods of Seasonal Adjustment

By D.S.G. Pollock and Emi Mise

Abstract

Alternative methods for the seasonal adjustment of economic data\ud are described that operate in the time domain and in the frequency\ud domain. The time-domain method, which employs a classical comb\ud filter, mimics the effects of the model-based procedures of the SEATS–\ud TRAMO and STAMP programs. The frequency-domain method eliminates\ud the sinusoidal elements of which, in the judgement of the user,\ud the seasonal component is composed.\ud It is proposed that, in some circumstances, seasonal adjustment is\ud best achieved by eliminating all elements in excess of the frequency\ud that marks the upper limit of the trend-cycle component of the data.\ud It is argued that the choice of the method seasonal adjustment is liable\ud to affect the determination of the turning points of the business cycle

Topics: Wiener–Kolmogorov Filtering, Frequency-Domain Methods, The Trend-Cycle Component
Publisher: Dept. of Economics, University of Leicester
Year: 2011
OAI identifier: oai:lra.le.ac.uk:2381/9258

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Citations

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