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Enhanced Methods of Seasonal Adjustment

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  • D. Stephen G. Pollock

    (Department of Economics, University of Leciceter, Leciceter LE1 7RH, UK)

Abstract

The effect of the conventional model-based methods of seasonal adjustment is to nullify the elements of the data that reside at the seasonal frequencies and to attenuate the elements at the adjacent frequencies. It may be desirable to nullify some of the adjacent elements instead of merely attenuating them. For this purpose, two alternative sets of procedures are presented that have been implemented in a computer program named SEASCAPE. In the first set of procedures, a basic seasonal adjustment filter is augmented by additional filters that are targeted at the adjacent frequencies. In the second set of procedures, a Fourier transform of the data is exploited to allow the elements in the vicinities of the seasonal frequencies to be eliminated or attenuated at will. The question is raised of whether an estimated trend-cycle trajectory that is devoid of high-frequency noise can serve in place of the seasonally adjusted data.

Suggested Citation

  • D. Stephen G. Pollock, 2021. "Enhanced Methods of Seasonal Adjustment," Econometrics, MDPI, vol. 9(1), pages 1-23, January.
    • Handle: RePEc:gam:jecnmx:v:9:y:2021:i:1:p:3-:d:475182
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    References listed on IDEAS

    as
    1. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
    2. D. Stephen G. Pollock, 2018. "Filters, Waves and Spectra," Econometrics, MDPI, vol. 6(3), pages 1-33, July.
    3. D.S.G. Pollock, "undated". "Filters, Waves and Spectra," Discussion Papers in Economics 19/08, Division of Economics, School of Business, University of Leicester.
    4. Pollock, D. S. G., 2000. "Trend estimation and de-trending via rational square-wave filters," Journal of Econometrics, Elsevier, vol. 99(2), pages 317-334, December.
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