Unseasonal Seasonals?
Unseasonal Seasonals?
复制标题
非季节性季节？
DOI：
10.1353/eca.2013.0017
复制
发表时间：
2014
影响因子：
5.9
通讯作者：
Jonathan H. Wright
中科院分区：
文献类型：
--
作者：
Jonathan H. Wright
在任何季节性调整滤波器中，一些周期性变动会被错误地归因于季节性因素，反之亦然。这个问题早已被充分理解，但它又重新成为一个特别令人关注的问题，因为大衰退期间急剧下滑的时间点似乎扭曲了季节性因素。在本文中，我发现最初这种影响使得经季节性调整后的非农就业人数在上半年被推高，在下半年被压低，两种情况下的变动幅度都略高于10万人。但这种影响在随后几年有所下降，在撰写本文时已经相当小。除了大衰退的特殊情况，我主张使用能使季节性因素比美国统计机构使用的默认滤波器更稳定的滤波器，并且使用基于状态空间模型估计的滤波器。最后，我报告了一些季节性因素修正具有可预测性的证据。
In any seasonal adjustment filter, some cyclical variation will be misattributed to seasonal factors and vice versa. The issue has long been well understood but it has resurfaced as a problem of special concern because the timing of the sharp downturn during the Great Recession appears to have distorted seasonals. In this paper, I find that initially this effect pushed reported seasonally adjusted nonfarm payrolls up in the first half of the year and down in the second half of the year, by slightly more than 100,000 in both cases. But the effect declined in later years and is quite small at the time of writing. Going beyond the special case of the Great Recession, I argue for using filters that constrain the seasonal factors to be more stable than the default filters used by U.S. statistical agencies, and also for using filters that are based on estimation of a state-space model. Finally, I report some evidence of predictability in revisions to seasonal factors.
用于密度估计的内核数据压缩
DOI：
--
发表时间：
2006
期刊：
影响因子：
--
作者：
Atsuyuki;Kogure;Masahiko;Sagae
通讯作者：
Sagae