Re: st: RE: seasonal adjustment

[Galina An <ang@kenyon.edu>]

Thanks for your suggestions, Nick,
the data is panel (quarterly in time-series direction, 36 quarters)  
and for each location, variables like construction, investment,  
marriage, exhibit quarterly seasonality, that needs to be removed.  
Unfortunately dummy usage does not remove much of that seasonality. Is  
there any procedure in Stata, like  X12 in e-views, that BEA uses to  
adjust for seasonality in national data series?
Thanks and sorry for the traffic creation.


Quoting Nick Cox <n.j.cox@durham.ac.uk>:


> 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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