Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?
This paper investigates the effect of seasonal adjustment filters on the identification of mixed causal-noncausal autoregressive models. By means of Monte Carlo simulations, we find that standard seasonal filters induce spurious autoregressive dynamics on white noise series, a phenomenon already doc...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2017-10-01
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| Series: | Econometrics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2225-1146/5/4/48 |
| _version_ | 1811307068804562944 |
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| author | Alain Hecq Sean Telg Lenard Lieb |
| author_facet | Alain Hecq Sean Telg Lenard Lieb |
| author_sort | Alain Hecq |
| collection | DOAJ |
| description | This paper investigates the effect of seasonal adjustment filters on the identification of mixed causal-noncausal autoregressive models. By means of Monte Carlo simulations, we find that standard seasonal filters induce spurious autoregressive dynamics on white noise series, a phenomenon already documented in the literature. Using a symmetric argument, we show that those filters also generate a spurious noncausal component in the seasonally adjusted series, but preserve (although amplify) the existence of causal and noncausal relationships. This result has has important implications for modelling economic time series driven by expectation relationships. We consider inflation data on the G7 countries to illustrate these results. |
| first_indexed | 2024-04-13T08:56:52Z |
| format | Article |
| id | doaj.art-ba73d08027a044beada929004b691d6d |
| institution | Directory Open Access Journal |
| issn | 2225-1146 |
| language | English |
| last_indexed | 2024-04-13T08:56:52Z |
| publishDate | 2017-10-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Econometrics |
| spelling | doaj.art-ba73d08027a044beada929004b691d6d2022-12-22T02:53:15ZengMDPI AGEconometrics2225-11462017-10-01544810.3390/econometrics5040048econometrics5040048Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?Alain Hecq0Sean Telg1Lenard Lieb2Department of Quantitative Economics, Maastricht University, School of Business and Economics, P.O. Box 616, 6200 MD Maastricht, The NetherlandsDepartment of Quantitative Economics, Maastricht University, School of Business and Economics, P.O. Box 616, 6200 MD Maastricht, The NetherlandsDepartment of General Economics (Macro), Maastricht University, School of Business and Economics, P.O. Box 616, 6200 MD Maastricht, The NetherlandsThis paper investigates the effect of seasonal adjustment filters on the identification of mixed causal-noncausal autoregressive models. By means of Monte Carlo simulations, we find that standard seasonal filters induce spurious autoregressive dynamics on white noise series, a phenomenon already documented in the literature. Using a symmetric argument, we show that those filters also generate a spurious noncausal component in the seasonally adjusted series, but preserve (although amplify) the existence of causal and noncausal relationships. This result has has important implications for modelling economic time series driven by expectation relationships. We consider inflation data on the G7 countries to illustrate these results.https://www.mdpi.com/2225-1146/5/4/48inflationseasonal adjustment filtersmixed causal-noncausal models |
| spellingShingle | Alain Hecq Sean Telg Lenard Lieb Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates? Econometrics inflation seasonal adjustment filters mixed causal-noncausal models |
| title | Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates? |
| title_full | Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates? |
| title_fullStr | Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates? |
| title_full_unstemmed | Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates? |
| title_short | Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates? |
| title_sort | do seasonal adjustments induce noncausal dynamics in inflation rates |
| topic | inflation seasonal adjustment filters mixed causal-noncausal models |
| url | https://www.mdpi.com/2225-1146/5/4/48 |
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