Next Article in Journal
Inequality and Poverty When Effort Matters
Next Article in Special Issue
Estimating Unobservable Inflation Expectations in the New Keynesian Phillips Curve
Previous Article in Journal
Bayesian Analysis of Bubbles in Asset Prices
Previous Article in Special Issue
An Interview with William A. Barnett
Open AccessArticle

Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?

by Alain Hecq 1, Sean Telg 1,* and Lenard Lieb 2
1
Department of Quantitative Economics, Maastricht University, School of Business and Economics, P.O. Box 616, 6200 MD Maastricht, The Netherlands
2
Department of General Economics (Macro), Maastricht University, School of Business and Economics, P.O. Box 616, 6200 MD Maastricht, The Netherlands
*
Author to whom correspondence should be addressed.
Academic Editors: Gilles Dufrénot, Fredj Jawadi, Alexander Mihailov and Marc S. Paolella
Econometrics 2017, 5(4), 48; https://doi.org/10.3390/econometrics5040048
Received: 12 June 2017 / Revised: 27 September 2017 / Accepted: 17 October 2017 / Published: 31 October 2017
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. View Full-Text
Keywords: inflation; seasonal adjustment filters; mixed causal-noncausal models inflation; seasonal adjustment filters; mixed causal-noncausal models
Show Figures

Figure 1

MDPI and ACS Style

Hecq, A.; Telg, S.; Lieb, L. Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates? Econometrics 2017, 5, 48.

Show more citation formats Show less citations formats
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Search more from Scilit
 
Search
Back to TopTop