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Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?

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Abstract

In this paper, we investigate whether seasonal adjustment procedures are, at least approximately, linear data transformations. This question is important with respect to many issues including estimation of regression models with seasonally adjusted data. We focus on the X-11 program and first review the features of the program that might be potential sources of nonlinearity. We rely on simulation evidence, involving linear unobserved component ARIMA models, to assess the adequacy of the linear approximation. We define a set of properties for the adequacy of a linear approximation to a seasonal adjustment filter. These properties are examined through statistical tests. Next, we study the effect of X-11 seasonal adjustment on regression statistics assessing the statistical significance of the relationship between economic variables in the same spirit as Sims (1974) and Wallis (1974). These findings are complemented with several empirical examples involving economic data. Nous examinons si la procedure d'ajustement X-11 est approximativement lineaire. Il y a potentiellement plusieurs sources de non-linearite dans cette procedure. Le but de l'etude est de savoir si ces sources sont effectivement assez importantes pour affecter, par exemple, des resultats d'estimation dans des modeles de regression lineaire. La seule facon de repondre a cette question est par estimation. Nous proposons plusieurs criteres qu'on peut utiliser pour juger si une procedure d'ajustement est approximativement lineaire. Nous examinons egalement par simulation des proprietes de tests dans le modele de regression dans le meme esprit que Sims (1974) et Wallis (1974).

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