Seasonal adjustment daily/hourly data
Posted: Wed Mar 02, 2011 5:55 am
by pablete
Is there any way to perform an automated seasonal adjustment (like X12, tramo/seats ...) with hourly or daily frequency data? If not can anyone provide some advice on how to acomplish this (in a non-automated way)? (hopefuly in EVIEWS)
Re: Seasonal adjustment daily/hourly data
Posted: Wed Mar 02, 2011 9:08 am
by EViews Gareth
There isn't anything built in that will do it, since hours don't really have "seasons". The manual goes into detail on how the moving average seasonal adjustment techniques are calculated. There is no reason why you could not extend these to any other frequency, as long as you can decide upon the length of a "season". As a starting point. I've written the following program that computes the moving average seasonal adjustment for a monthly series using the built in procedure, and then computes it manually following the formulas in the manual:
Code: Select all
create m 1990 2000
series y=rnd
y.seas(m) y_seas
series x = @movav(y(6), 12)
series r = y/x
!product=1
for !m=1 to 12
smpl if @month=!m
series i!m = @mean(r)
!product = !product*@mean(r)
next
!product = !product^(1/12)
for !m = 1 to 12
smpl if @month = !m
series s = i!m / !product
next
smpl @all
series ysa = y/s
show ysa y_seas
'delete i* r s
Re: Seasonal adjustment daily/hourly data
Posted: Thu Mar 03, 2011 3:43 am
by pablete
Thanks a lot!