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Activity Number: 588
Type: Topic Contributed
Date/Time: Wednesday, August 7, 2013 : 2:00 PM to 3:50 PM
Sponsor: Business and Economic Statistics Section
Abstract - #308644
Title: The Effect of Alternative Seasonal Adjustment Procedures on Business Cycle Analysis
Author(s): Gian Luigi Mazzi*+ and Dominique Ladiray and Dario Buono and Gaetana Montana
Companies: Eurostat - European Commission and INSEE and European Commission and European Parliament
Keywords: Seasonal Adjustment ; Business Cycle Analysis
Abstract:

Whether or not the choice of the seasonal adjustment method significantly affects business cycle analysis is a long standing open discussion. In this paper seven alternative methods are compared with respect to the cyclical features of the seasonal adjusted series. The focus of the analysis is on differences in cyclical shapes and on shifts of turning points location. The comparison is carried out on monthly and quarterly Euro Area statistics such as Gross Domestic Product, Unemployment and Industrial Production. The comparison is also extended to the Growth Cycle Coincident Indicator and the Business Cycle Coincident Indicator by seasonally adjusting their component series with the seven methods and recalculating them afterward. While seasonally adjusted data produced by most known methods show similar cyclical patterns and enough synchronized turning points, non-standard methods, especially those based on asymmetric filters, leads to the identification of different shaped cycles and shifted turning points.


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