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Further Evidence on Seasonal Adjustment of Time Series Data

Published online by Cambridge University Press:  06 April 2009

David P. Rochester  and
Samuel C. Hadaway Jr
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Extract

The purpose of this paper is to provide evidence that the Bureau of the Census' X–ll program for seasonal adjustment [3] overstates the incidence of seasonality in some forms of times series data. This problem arises in a recent study by Bonin and Moses [1] (hereafter B-M) indicating that 7 of the 30 Dow Jones Industrial stocks exhibited persistent seasonal patterns during the period July 1962 through June 1971.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 13 , Issue 1 , March 1978 , pp. 133 - 141
Copyright
Copyright © School of Business Administration, University of Washington 1978

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References

REFERENCES

[1]Bonin, Joseph M., and Moses, Edward A.. “Seasonal Variations in Prices of Individual Dow Jones Industrial Stocks.” Journal of Financial and Quantitative Analysis, Vol. 9, No. 6 (1974), pp. 963–91.CrossRefGoogle Scholar
[2]Jorgenson, Dale W. “Minimum Variance, Linear, Unbiased Seasonal Adjustment of Economic Time Series.” Journal of the American Statistical Association, Vol. 59 (1964), pp. 681–724.CrossRefGoogle Scholar
[3]Skiskin, Julius; Young, Allan H.; and Musgrave, John C.. The X–II Variant of the Census Method II Seasonal Adjustment Program. U.S. Government Printing Office (1967).Google Scholar
[4]Young, Allan H. “Linear Approximations to the Census and BLS Seasonal Adjustment Methods.” Journal of the American Statistical Association, Vol. 63 (06 1968), pp. 445–71.Google Scholar