Further Evidence on Seasonal Adjustment of Time Series Data

Further Evidence on Seasonal Adjustment of Time Series Data

The purpose of this paper is to provide evidence that the Bureau of the Census' X–ll program for seasonal adjustment [3] overstates the incidence of seasonality in some forms of times series data. This problem arises in a recent study by Bonin and Moses [1] (hereafter B-M) indicating that 7 of...

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Veröffentlicht in:Journal of financial and quantitative analysis 1978-03, Vol.13 (1), p.133-141
Hauptverfasser: Rochester, David P., Hadaway, Samuel C.
Format: Artikel
Sprache:eng
Schlagworte:
Analysis
Coefficients
Dividends
Holding period return
Mathematical vectors
Prices
Regression analysis
Seasonal
Seasonal adjustment
Seasonal variations
Securities analysis
Significance level
Statistical analysis
Stock prices
Stocks
Time series
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Zusammenfassung:The purpose of this paper is to provide evidence that the Bureau of the Census' X–ll program for seasonal adjustment [3] overstates the incidence of seasonality in some forms of times series data. This problem arises in a recent study by Bonin and Moses [1] (hereafter B-M) indicating that 7 of the 30 Dow Jones Industrial stocks exhibited persistent seasonal patterns during the period July 1962 through June 1971.
ISSN:0022-1090
1756-6916
DOI:10.2307/2330528