Moving Holidays and Seasonality: An Application in the Time and Frequency Domains For Turkey

When holiday variation is present so that the dates of certain holidays change from year to year, the relatively automatic seasonal adjustment procedures may fail to extract the seasonal component from a series since the holiday effects are not confined to that component. Turkey, a predominantly Muslim country, constitutes a good example of moving holidays since the official calendar is Gregorian, based on the cycles of the earth around the sun, even though significant Islamic holidays are tied to the Hegirian calendar, based on the lunar cycles. The existence of residual deterministic seasonal effects on monthly series that have already been conventionally seasonally adjusted as well as the consequences of ignoring this type of seasonality is analyzed. Based on analyses in the time and the frequency domains, the main intuitive conclusion is that one should first check to see if there exists "residual" deterministic seasonality left in the "conventionally" deseasonalized series and remove it if it does so. Estimation results point to the importance of paying special attention to such residual deterministic seasonality.