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st: RE: How to deseasonalize with Stata


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: How to deseasonalize with Stata
Date   Mon, 29 Jul 2002 14:46:36 +0100

f_ciocchini@uca.edu.ar

> Iīve trying to find a routine to deseasonalize data with Stata but I
> couldnīt find one.
> Can someone tell me if there exists a user written program
> to do this?

My understanding is that there are many ways to
"deseasonalise". Also, I don't pick up a hint of
what kind of data you are dealing with. Some
people do it with Fourier analysis,
and you don't need special Stata tools for that,
as it may boil down to a -regress- or -glm-.

I looked at what there is with

findit seasonal

which seemed to find only graphics routines
and some tests.

Some of the simpler methods count as linear filters
and so can be implemented via -egen, filter()-.
The -filter()- function is user-written
and downloadable via

ssc inst egenmore

Some of the comments at

How can I calculate moving averages for panel data?
http://www.stata.com/support/faqs/stat/moving.html

-- even though it's ostensibly on a different question --
carry over to this question. In particular, if you have
-tsset- your data, then doing it yourself
may be much easier than you fear.

Alternatively, you might be able to do this via fitting an
appropriate model using -arima- or
-arch-, i.e. fit a model including seasonal
effects.

Nick
n.j.cox@durham.ac.uk

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