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Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?

Author

Listed:
  • Eric Ghysels
  • Clive W.J. Granger
  • Pierre L. Siklos
Abstract
In this paper, we investigate whether seasonal adjustment procedures are, at least approximately, linear data transformations. This question is important with respect to many issues including estimation of regression models with seasonally adjusted data. We focus on the X-11 program and first review the features of the program that might be potential sources of nonlinearity. We rely on simulation evidence, involving linear unobserved component ARIMA models, to assess the adequacy of the linear approximation. We define a set of properties for the adequacy of a linear approximation to a seasonal adjustment filter. These properties are examined through statistical tests. Next, we study the effect of X-11 seasonal adjustment on regression statistics assessing the statistical significance of the relationship between economic variables in the same spirit as Sims (1974) and Wallis (1974). These findings are complemented with several empirical examples involving economic data. Nous examinons si la procédure d'ajustement X-11 est approximativement linéaire. Il y a potentiellement plusieurs sources de non-linéarité dans cette procédure. Le but de l'étude est de savoir si ces sources sont effectivement assez importantes pour affecter, par exemple, des résultats d'estimation dans des modèles de régression linéaire. La seule façon de répondre à cette question est par estimation. Nous proposons plusieurs critères qu'on peut utiliser pour juger si une procédure d'ajustement est approximativement linéaire. Nous examinons également par simulation des propriétés de tests dans le modèle de régression dans le même esprit que Sims (1974) et Wallis (1974).

Suggested Citation

  • Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?," CIRANO Working Papers 95s-19, CIRANO.
    • Handle: RePEc:cir:cirwor:95s-19
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    X-11 program; Nonlinearity; X-11 program ; Nonlinearity;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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