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Journal of Business Cycle Research

, Volume 14, Issue 1, pp 47–87 | Cite as

A Comparison Between Direct and Indirect Seasonal Adjustment of the Chilean GDP 1986–2009 with X-12-ARIMA

  • Carlos A. Medel
Research Paper
  • 28 Downloads

Abstract

It is well known among practitioners that the seasonal adjustment applied to economic time series involves several decisions to be made by the econometrician. As such, it would always be desirable to have an informed opinion on the risks taken by each of those decisions. In this paper, I assess which disaggregation strategy delivers the best results for the case of the Chilean 1986–2009 GDP quarterly dataset (base year: 2003). This is done by performing an aggregate-by-disaggregate analysis under different schemes, as the fixed base year dataset allows this fair comparison. The analysis is based on seasonal adjustment diagnostics contained in the X-12-ARIMA program plus some statistical tests for robustness. This exercise is relevant for conjunctural economic assessment, as it concerns signal extraction from seasonal, noisy series, direction of change detection, and econometric applications based on reliable and accurate unobserved variables. The results show that it is preferable, in terms of stability, to use the first block of supply-side disaggregation, while demand-side disaggregation tends to be less reliable. This result carries important implications for policymakers aiming to evaluate its short-term effectiveness in both households and firms.

Keywords

Seasonal adjustment Univariate time-series models ARMA X-12-ARIMA 

JEL Classification

C14 C18 C49 C65 C87 

Supplementary material

References

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Copyright information

© Springer International Publishing AG, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Central Bank of ChileSantiagoChile

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