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Workday, holiday and calendar adjustment: Monthly aggregates from daily diesel fuel purchases

Author

Listed:
  • Leamer, Edward E.

    (UCLA Anderson School of Management)

Abstract

Most data sets used by economists are collected with after-the-fact surveys and the time aggregation is done by the survey respondents who produce, for example, monthly aggregates not actual transactions. 21st century digital transaction technologies will increasingly allow the collection of actual transactions, which will create an important new set of opportunities for forming time aggregates. This paper uses a transaction-by-transaction data set on purchases of diesel fuel by over-the-road truckers to form a monthly diesel volume index from 1999 to 2012 purged of weekday, holiday and calendar effects. These high-frequency data allow new and more accurate ways to correct for (1) the variability in the weekday composition of months and (2) the drift of holiday effects between months. These corrections have substantial effects on month-to-month comparisons.

Suggested Citation

  • Leamer, Edward E., 2014. "Workday, holiday and calendar adjustment: Monthly aggregates from daily diesel fuel purchases," Journal of Economic and Social Measurement, IOS Press, issue 1-2, pages 1-29.
    • Handle: RePEc:ris:iosjes:0011
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    Cited by:

    1. Aditya Aladangady & Shifrah Aron-Dine & Wendy Dunn & Laura Feiveson & Paul Lengermann & Claudia Sahm, 2021. "From Transaction Data to Economic Statistics: Constructing Real-Time, High-Frequency, Geographic Measures of Consumer Spending," NBER Chapters, in: Big Data for Twenty-First-Century Economic Statistics, pages 115-145, National Bureau of Economic Research, Inc.

    More about this item

    Keywords

    Seasonal adjustment; trading data effects; holiday adjustment; diesel fuel;
    All these keywords.

    JEL classification:

    • A13 - General Economics and Teaching - - General Economics - - - Relation of Economics to Social Values

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