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I.P. Stankevich Some Results on the Effects of Seasonal Adjustment of Data in Application to Dynamic Models |
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Abstract. The paper analyses the necessity of seasonal adjustment in dynamic models. It is shown, that seasonal adjustment of the time series can influence its’ properties in terms of unit root and cointegration tests. This influence depends of the seasonal adjustment procedure and the test selected. If there is a cointegration between series, seasonal adjustment of any type reduces the quality of estimates of parameters of cointegration equation if the seasonality in original series is such that there is no seasonality in cointegration equation. If seasonality is present in the cointegration equation, seasonal adjustment increases the quality of estimates and identification of the presence of cointegration. Keywords: seasonality, seasonal adjustment, time series, dynamic economic models. PP. 55-58. References 1. Ghysels, E., Perron P. The effect of seasonal adjustment filters on tests for a unit root. Journal of Econometrics 55.1-2 (1993): 57-98. 2. Ghysels E., Lee H, S., Noh J. Testing for unit roots in seasonal time series: some theoretical extensions and a Monte Carlo investigation. Journal of econometrics 62.2 (1994): 415-442. 3. Granger, C.W.J., Siklos P.L. Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence. Journal of Econometrics 66.1 (1995): 357-369. 4. del Barrio Castro, T., Osborn D.R. The Distribution of Unit Root Test Statistics after Seasonal Adjustment. (2014). 5. Pilnik N., Pospelov I., Stankevich I. On the Use of Dummy Variables to Solve the Problem of Seasonality in General Equilibrium Models. HSE Economic Journal.19.2 (2015). 6. Guide to Seasonal Adjustment with X-12-ARIMA, ONS Methodology and Statistical Development, 2007 7. Introductory notes of TRAMO and SEATS, Bank of Spain, 2003
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