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st: RE: seasonal adjustment


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: seasonal adjustment
Date   Fri, 8 Aug 2008 18:52:46 +0100

Your other posts indicate that you are an economist, although clearly
your friend might not be. 

I think you'll need to specify more to get a really useful answer out of
the list. 

What kind of data? 
	Length of series 
	Resolution of series: daily, monthly, quarterly, other 

What kind of modelling exercise is in mind? 

Often in the Earth and environmental sciences Fourier series work very
nicely to capture seasonality. In those fields seasonal rhythms are
often interesting and important. 

In economics the classical point of view seems to be that seasonality is
a nuisance, and indeed the very term "seasonal adjustment" implies that
it is something that needs to be cleaned or corrected away, like dirt or
noise, before you can focus on what the economy is "really" doing. 

There does seem to be a slow but steady away from that to building
seasonal components into models, but from a distance I can't sense any
agreement on how best to do that, whether in terms of modelling the
error or in terms of adding extra variables or both. Using dummy
variables for quarters or months still appears to be popular. A key
point is that does not need special technology in Stata. You just create
the dummies or use -xi- or something similar and then proceed with your
modelling command. 

Your friend, or other people interested in seasonality, may be
interested in one or both of 

SJ-6-4  st0116  . . . .  Speaking Stata: In praise of trigonometric
predictors
        . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  N.
J. Cox
        Q4/06   SJ 6(4):561--579                                 (no
commands)
        discusses the use of sine and cosine as predictors in
        modeling periodic time series and other kinds of periodic
        responses

SJ-6-3  gr0025  . . . . . . . . . . . . Speaking Stata: Graphs for all
seasons
        (help cycleplot, sliceplot if installed)  . . . . . . . . .  N.
J. Cox
        Q3/06   SJ 6(3):397--419
        illustrates producing graphs showing time-series seasonality

But my main point is that the question is too general to be likely to
get a good answer. 

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

Galina An

my friend has trouble posting a question, so I am doing it for her. 
Sorry if you see the same question down the road.

Does anybody know a good seasonal adjustment procedure in Stata?

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