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Seasonal adjustment and measuring persistence in output
Author(s) -
Jaeger Albert,
Kunst Robert M.
Publication year - 1990
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.3950050104
Subject(s) - persistence (discontinuity) , seasonal adjustment , econometrics , robustness (evolution) , monte carlo method , seasonality , gross domestic product , statistics , economics , census , series (stratigraphy) , mathematics , variable (mathematics) , demography , biology , engineering , macroeconomics , mathematical analysis , biochemistry , geotechnical engineering , gene , population , paleontology , sociology
We examine the robustness of persistence measurement to different seasonal adjustment procedures. The empirical analysis is based on US data for real gross national product (GNP). Officially published data on US GNP are seasonally adjusted by Census X‐11. We find that this series gives significantly higher measures of persistence than GNP data adjusted by alternative seasonal adjustment methods. Some Monte Carlo evidence in support of this conclusion is also presented.