Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?
季节调整是线性还是非线性的数据滤波过程？
The authors investigate whether seasonal adjustment procedures are linear data transformations. This question was addressed by A. H. Young (1968) and is important for the estimation of regression models with seasonally adjustment data. The authors focus on the X-11 program and rely on simulation evidence, involving linear unobserved component autorgressive integrated moving average models. They define and test a set of properties for the adequacy of a linear approximation to…