Seasonality in COVID-19 times
15 Dic 2021
By Juan Bógalo; Martín Llada; Pilar Poncela; Eva Senra. Published in Economics Letters (2022)
Autor/res:
Llada, Martín
Received 1 October 2021, Revised 22 November 2021, Accepted 27 November 2021, Available online 15 December 2021.
Highlights
• Alternative seasonal adjustment methods perform similarly in normal times.
• Outliers in trend and seasonality diminish the accuracy of the seasonally adjusted estimates.
• Projecting the previous year seasonal factors in the presence of outliers is the worst option.
• Non-parametric CiSSA performs better than X-13ARIMA-SEATS and SEATS with outlier correction.
Abstract
COVID-19 hit the economy in an unprecedented way, changing the data generating process of many series. We compare different seasonal adjustment methods through simulations, introducing outliers in the trend and seasonality to reproduce the heterogeneity in the series during COVID-19.
JEL classification
C22E17
Keywords
CiSSACOVID-19DeseasonalizingOutlierX-13ARIMA-SEATS
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