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SEASONAL ADJUSTMENT OF DATA FOR ECONOMETRIC ANALYSIS.
- Source :
-
Journal of the American Statistical Association . Mar1967, Vol. 62 Issue 317, p137-140. 4p. - Publication Year :
- 1967
-
Abstract
- An earlier paper [3] provides axioms for the seasonal adjustment of economic time series. Seasonally adjusted data should be minimum variance, unbiased, and linear in an appropriate sense. These axioms yield a unique method for seasonal adjustment. The seasonally adjusted data may be obtained by an application of ordinary least squares regression. The problem of seasonal adjustment of economic time series in [3] is not the same as the problem of seasonal adjustment of data for econometric analysis. The first problem is completely resolved by appeal to the axioms of minimum variance, unbiasedness, and linearity. The second problem requires formulation as a standard problem in econometrics: estimation of the parameters of a single equation in a system of simultaneous equations. Lovell [4] has proposed to solve the problem of seasonal adjustment of data for econometric analysis by applying ordinary least squares directly to a structural equation in a system of simultaneous equations. Ordinary least squares estimation of the parameters of a structural equation usually results in "least squares bias." However, under certain special assumptions such a procedure can be justified, as Wold [6] has pointed out. Under these assumptions Lovell's procedure is valid. In this paper the seasonal adjustment of data for econometric analysis is formulated as a general simultaneous equations problem. Conditions for identification of the parameters to be estimated and methods for constructing consistent and asymptotically unbiased and efficient estimates are derived. Extensions to multivariate problems of seasonal adjustment for econometric analysis are sketched. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 01621459
- Volume :
- 62
- Issue :
- 317
- Database :
- Academic Search Index
- Journal :
- Journal of the American Statistical Association
- Publication Type :
- Academic Journal
- Accession number :
- 4606675
- Full Text :
- https://doi.org/10.1080/01621459.1967.10482894