Hi
After making seasonal adjustment to a series with ARIMA (no seasonal dummies or constant), the resulting series still has a seasonal patten as detected by regressing the adjusted series on seasonal dummies. why is this?
seasonality after seasonal adjustment
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Re: seasonality after seasonal adjustment
Seasonal adjustment is a data-dependent analysis, so it is quite difficult to understand the problem without seeing the actual data. Output reports of formal seasonal adjustment procedures (X12 or TRAMO/SEATS) are more conclusive and reliable. These reports provide very detailed information on the seasonal behaviour in your data (e.g. whether the data have a moving seasonality pattern). Seasonal dummies are simple dummy variables assigned to specific periods and may also capture movements other than seasonality. Since built-in seasonal adjustment procedures can also auto detect and remove any outlier effect, you should also check for any significant irregularities in your regression.
Re: seasonality after seasonal adjustment
Hi,
I have made seasonality adjustment to my series with tramo/seats but keeps showing seasonality. Do you know how can I correct that?
Thank you
I have made seasonality adjustment to my series with tramo/seats but keeps showing seasonality. Do you know how can I correct that?
Thank you
Re: seasonality after seasonal adjustment
You can add seasonal dummies to your analysis.
Re: seasonality after seasonal adjustment
How do I add seasonal dummies in eviews program?
thank you
thank you
Re: seasonality after seasonal adjustment
For monthly data, you can start by @expand(@month) command and then keep the significant ones with @seas() command:
Code: Select all
equation myeq.ls y x @expand(@month)
equation myeq.ls y x @seas(1) @seas(5) @seas(8) @seas(10)
Re: seasonality after seasonal adjustment
Great! thank you trubador
PLEASE HELP: seasonality after seasonal adjustment
Hi,
What do we do after we run the OLS with the dummies. I found that all of the dummies are significant, then I go to X12 arima or how do I correct this? Please help
What do we do after we run the OLS with the dummies. I found that all of the dummies are significant, then I go to X12 arima or how do I correct this? Please help
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