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Some Properties of 'Optimal' Seasonal Adjustment

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  • David M. Grether
  • Marc Nerlove

Abstract

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  • David M. Grether & Marc Nerlove, 1968. "Some Properties of 'Optimal' Seasonal Adjustment," Cowles Foundation Discussion Papers 261, Cowles Foundation for Research in Economics, Yale University.
    • Handle: RePEc:cwl:cwldpp:261
    Note: CFP 339.
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    Cited by:

    1. Heiler, Siegfried, 1991. "Überlegungen zum Vergleich von Verfahren der Komponentenzerlegung saisonabhängiger Zeitreihen," Discussion Papers, Series II 141, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    2. Nicolae Anca-Iuliana, 2018. "Autoregressive Evolutions For Macroeconomic Indicators Do Confirm Chaos Theories In United States," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 4, pages 29-45, August.
    3. Jerry A. Hausman & Mark W. Watson, 1983. "Seasonal Adjustment with Measurement Error Present," NBER Working Papers 1133, National Bureau of Economic Research, Inc.
    4. McElroy, Tucker S. & Politis, Dimitris N., 2014. "Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics," Journal of Econometrics, Elsevier, vol. 182(1), pages 211-225.
    5. Travis D. Nesmith, 2007. "Rational Seasonality," International Symposia in Economic Theory and Econometrics, in: Functional Structure Inference, pages 227-255, Emerald Group Publishing Limited.
    6. Christiano, Lawrence J. & Todd, Richard M., 2002. "The conventional treatment of seasonality in business cycle analysis: does it create distortions?," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 335-364, March.
    7. Yuliya Lovcha & Alejandro Perez-Laborda & Luis Gil-Alana, 2018. "On the invertibility of seasonally adjusted series," Computational Statistics, Springer, vol. 33(1), pages 443-465, March.
    8. William S. Cleveland & Douglas M. Dunn & Irma J. Terpenning, 1978. "SABL: A Resistant Seasonal Adjustment Procedure With Graphical Methods for Interpretation and Diagnosis," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 201-241, National Bureau of Economic Research, Inc.
    9. Irma Hindrayanto & Jan Jacobs & Denise Osborn, 2014. "On trend-cycle-seasonal interactions," DNB Working Papers 417, Netherlands Central Bank, Research Department.
    10. Jang Hyung Cho & Robert T. Daigler, 2012. "An unbiased autoregressive conditional intraday seasonal variance filtering process," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 231-247, October.
    11. William S. Cleveland & Douglas M. Dunn & Irma J. Terpenning, 1979. "SABL: A Resistant Seasonal Adjustment Procedure with Graphical Methods for Interpretation and Diagnosis," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 201-241, National Bureau of Economic Research, Inc.
    12. Ghysels, Eric & Granger, Clive W J & Siklos, Pierre L, 1996. "Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 374-386, July.
    13. Steven Yee & Miguel D. Ramirez, 2016. "Purchasing Power Parity: A Time Series Analysis of the U.S. and Mexico, 1995–2007," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 22(4), pages 409-419, November.
    14. Campos, Julia, 1991. "A Brief Look on the Literature on Deseasonalization," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 11(2), November.
    15. Neil R. Ericsson & David F. Hendry & Hong-Anh Tran, 1993. "Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom," International Finance Discussion Papers 457, Board of Governors of the Federal Reserve System (U.S.).
    16. Peter Isard & Barbara R. Lowrey & P. A. V. B. Swamy, 1975. "Theory and estimation of the demand for imports of consumer goods," International Finance Discussion Papers 61, Board of Governors of the Federal Reserve System (U.S.).
    17. Ehlgen, Jurgen, 1998. "Distortionary effects of the optimal Hodrick-Prescott filter," Economics Letters, Elsevier, vol. 61(3), pages 345-349, December.
    18. Gonçalo Faria & Fabio Verona, 2021. "Time-frequency forecast of the equity premium," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2119-2135, December.
    19. repec:zbw:bofrdp:2020_006 is not listed on IDEAS
    20. Francis X. Diebold & Lutz Kilian & Marc Nerlove, 2006. "Time Series Analysis," PIER Working Paper Archive 06-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
      • Diebold, F.X. & Kilian, L. & Nerlove, Marc, 2006. "Time Series Analysis," Working Papers 28556, University of Maryland, Department of Agricultural and Resource Economics.
    21. Erich Spörndli, 1979. "Konjunkturdiagnose und -prognose in der Schweiz: Die Verwendung quantitativer Indikatoren," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 115(III), pages 323-350, September.
    22. Adlai Fisher & Laurent Calvet & Benoit Mandelbrot, 1997. "Multifractality of Deutschemark/US Dollar Exchange Rates," Cowles Foundation Discussion Papers 1166, Cowles Foundation for Research in Economics, Yale University.

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