Seasonal Adjustment of Data for Econometric Analysis
Abstract An earlier paper [3] provides axioms for the seasonal adjustment of economic time series. Seasonally adjusted data should be minimum variance, unbiased, and linear in an appropriate sense. These axioms yield a unique method for seasonal adjustment. The seasonally adjusted data may be obtained by an application of ordinary least squares regression.1 The problem of seasonal adjustment of economic time series in [3] is not the same as the problem of seasonal adjustment of data for econometric analysis.2 The first problem is completely resolved by appeal to the axioms of minimum variance, unbiasedness, and linearity. The second problem requires formulation as a standard problem in econometrics: estimation of the parameters of a single equation in a system of simultaneous equations. Lovell [4] has proposed to solve the problem of seasonal adjustment of data for econometric analysis by applying ordinary least squares directly to a structural equation in a system of simultaneous equations. Ordinary leas...