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A Diagnostic for Seasonality Based Upon Polynomial Roots of ARMA Models

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  • McElroy Tucker

    (Research and Methodology Directorate, U.S. Census Bureau, 4600 Silver Hill Road, Washington, D.C. 20233-9100, U.S.A.)

Abstract

Methodology for seasonality diagnostics is extremely important for statistical agencies, because such tools are necessary for making decisions whether to seasonally adjust a given series, and whether such an adjustment is adequate. This methodology must be statistical, in order to furnish quantification of Type I and II errors, and also to provide understanding about the requisite assumptions. We connect the concept of seasonality to a mathematical definition regarding the oscillatory character of the moving average (MA) representation coefficients, and define a new seasonality diagnostic based on autoregressive (AR) roots. The diagnostic is able to assess different forms of seasonality: dynamic versus stable, of arbitrary seasonal periods, for both raw data and seasonally adjusted data. An extension of the AR diagnostic to an MA diagnostic allows for the detection of over-adjustment. Joint asymptotic results are provided for the diagnostics as they are applied to multiple seasonal frequencies, allowing for a global test of seasonality. We illustrate the method through simulation studies and several empirical examples.

Suggested Citation

  • McElroy Tucker, 2021. "A Diagnostic for Seasonality Based Upon Polynomial Roots of ARMA Models," Journal of Official Statistics, Sciendo, vol. 37(2), pages 367-394, June.
    • Handle: RePEc:vrs:offsta:v:37:y:2021:i:2:p:367-394:n:8
    DOI: 10.2478/jos-2021-0016
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    References listed on IDEAS

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    Cited by:

    1. McElroy, Tucker S. & Jach, Agnieszka, 2023. "Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density," Computational Statistics & Data Analysis, Elsevier, vol. 177(C).
    2. Tucker McElroy & Anindya Roy, 2022. "A Review of Seasonal Adjustment Diagnostics," International Statistical Review, International Statistical Institute, vol. 90(2), pages 259-284, August.

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