Abstract

In situations where groups of economic time series are likely to have seasonal dynamics in common, use of seasonal information across series in estimating their seasonal factors should improve the seasonal factor estimates for individual series. Such information sharing can also be the basis for consistent seasonal adjustment of combinations of series. It also provides information about dominant seasonal patterns in component series. A methodology based on principal component analysis, developed earlier by the author with Eric Bartelsman, is applied to series of price indexes and production indexes from EU countries. Evidence of common structure is revealed. The implications of common estimation of seasonal factors are explored.

Recommended Citation

William P. Cleveland (2004) "Stability and Consistency of Seasonally Adjusted Aggregates and Their Component Patterns", Studies in Nonlinear Dynamics & Econometrics: Vol. 8: No. 2, Article 15.
http://www.bepress.com/snde/vol8/iss2/art15

Related Files

Cleveland_datacode.zip (4 kB)
Data and code