seasonal adjustment methods

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1、SeasonalAdjustmentMethodsCENTRALBANKOFTHEREPUBLICOFTURKEYSEASONALADJUSTMENTINECONOMICTIMESERIESOğuzAtukBeyzaPınarUralSTATISTICSDEPARTMENTDiscussionPaperNo:2002/1ANKARAJune,200255SeasonalAdjustmentMethodsCENTRALBANKOFTHEREPUBLICOFTURKEYSEASONALADJUSTMENTINECONOMICTIMESERIESOğuz

2、AtukBeyzaPınarUralSTATISTICSDEPARTMENTDiscussionPaperNo:2002/1ANKARAJune,200255SeasonalAdjustmentMethodsTheauthorsarestatisticiansattheStatisticsDepartmentoftheCentralBankoftheRepublicofTurkey.Theviewsexpressedinthispaperarethoseoftheauthorsanddonotnecessarilycorrespondtothevi

3、ewsoftheCentralBankoftheRepublicofTurkey.E-Mails:Oguz.Atuk@tcmb.gov.trBeyza.Ural@tcmb.gov.trPreparedby:TheCentralBankoftheRepublicofTurkeyHeadOfficeStatisticsDepartmentİstiklalCad.1006100Ulus,ANKARATURKEY55SeasonalAdjustmentMethodsSeasonalAdjustmentMethods:AnApplicationtotheTu

4、rkishMonetaryAggregatesOğuzAtukandBeyzaPınarUral*CentralBankoftheRepublicofTurkeyStatisticsDepartment06100ULUSANKARATURKEYAbstractSeasonalitycanbedefinedasapatternofatimeseries,whichrepeatsatregularintervalseveryyear.Seasonalfluctuationsindatamakeitdifficulttoanalysewhethercha

5、ngesindataforagivenperiodreflectimportantincreasesordecreasesinthelevelofthedata,orareduetoregularlyoccurringvariation.Insearchfortheeconomicmeasuresthatareindependentofseasonalvariations,methodshadbeendevelopedtoremovetheeffectofseasonalchangesfromtheoriginaldatatoproduceseas

6、onallyadjusteddata.Theseasonallyadjusteddata,providingmorereadilyinterpretablemeasuresofchangesoccurringinagivenperiod,reflectsrealeconomicmovementswithoutthemisleadingseasonalchanges.Thechoiceofmethodforseasonaladjustmentiscrucialfortheremovalofallseasonaleffectsinthedata.Sea

7、sonaladjustmentisnormallydoneusingtheoff-the-shelfprograms-mostcommonlyworldwidebyoneoftheprogramsintheX-11family,X-12ARIMA,thelatestimprovedversion.AnotherprogramincommonuseistheTRAMO/SEATSpackagedevelopedbytheBankofSpainandpromotedbyEurostat.Inthisstudy,theperformancesoftwos

8、easonaladjustmentmethods,X-12ARIMAandTRAMO/SEATS,onthemonetar