Seasonal detrending with missing data

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mirelamiescu
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Joined: Fri May 01, 2015 6:15 am

Seasonal detrending with missing data

Postby mirelamiescu » Fri May 01, 2015 6:29 am

Hy, I am Mirela and I have an excel dataset with data for all countries, each sheet represents a country. I have quarterly data so I have to do seasonal detrending, but for several countries I have many missing data and even TRAMO/SEATS gives me error for several variables. Could someone suggest me how to handle efficiently this?
Many thanks

trubador
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Joined: Thu Nov 20, 2008 12:04 pm

Re: Seasonal detrending with missing data

Postby trubador » Mon May 04, 2015 6:56 am

You do not have to seasonally adjust your data solely based on its frequency. Adjustment methods like Census X12 and TRAMO-SEATS do have hypothesis testing and check against the existence of any seasonality in the data. If there is none, the latter method does not even produce any results. If there are too many missing values in the data, then there may not be a feasible solution, I am afraid.

Your research question and the model you are planning to use is of crucial importance here. However, instead of making large assumptions and stretching the data far beyond its limits, I would simply use seasonal dummies and see if that works.


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