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Economic analysis using higher frequency time series: Challenges for seasonal adjustment

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  • Ollech, Daniel

Abstract

The COVID-19 pandemic has increased the need for timely and granular information to assess the state of the economy in real time. Weekly and daily indices have been constructed using higher frequency data to address this need. Yet the seasonal and calendar adjustment of the underlying time series is challenging. Here, we analyse the features and idiosyncracies of such time series relevant in the context of seasonal adjustment. Drawing on a set of time series for Germany - namely hourly electricity consumption, the daily truck toll mileage, and weekly Google Trends data - used in many countries to assess economic development during the pandemic, we discuss obstacles, difficulties, and adjustment options. Furthermore, we develop a taxonomy of the central features of seasonal higher frequency time series.

Suggested Citation

  • Ollech, Daniel, 2021. "Economic analysis using higher frequency time series: Challenges for seasonal adjustment," Discussion Papers 53/2021, Deutsche Bundesbank.
    • Handle: RePEc:zbw:bubdps:532021
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    References listed on IDEAS

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    1. López Prol, Javier & O, Sungmin, 2020. "Impact of COVID-19 measures on electricity consumption," MPRA Paper 101649, University Library of Munich, Germany.
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    More about this item

    Keywords

    COVID-19; DSA; Calendar adjustment; Time series characteristics;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
    • E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions

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