@techreport{5dd04ccc51f74dc094eee103d68231a4,
title = "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?",
abstract = "This paper investigates the effect of seasonal adjustment filters on the identification of mixed causal-noncausal autoregressive (MAR) models. By means of Monte Carlo simulations, we find that standard seasonal filters might induce spurious autoregressive dynamics, a phenomenon already documented in the literature. Symmetrically, we show that those filters also generate a spurious noncausal component in the seasonally adjusted series. The presence of this spurious noncausal feature has important implications for modelling economic time series driven by expectation relationships. An empirical application on European inflation data illustrates these results. In particular, whereas several inflation rates are forecastable on seasonally adjusted series, they appear to be white noise using raw data.",
keywords = "seasonality, inflation, seasonal adjustment filters, mixed causal-noncausal models, autoregressive",
author = "Alain Hecq and Sean Telg and Lenard Lieb",
note = "Data source: Eurostat.",
year = "2016",
month = nov,
day = "4",
language = "English",
volume = "74922",
series = "Munich Personal RePEc Archive",
publisher = "MPRA Paper",
number = "74922",
type = "WorkingPaper",
institution = "MPRA Paper",
}