Macro/Finance Group, NIPFP

Seasonal adjustment of Indian macroeconomic time-series

Seasonal adjustment of Indian macroeconomic time-series, Rudrani Bhattacharya, Radhika Pandey, Ila Patnaik and Ajay Shah. NIPFP Working Paper 160, January 2016.

Macroeconomic analysis benefits from seasonal adjustment. Month-on-month changes of economic time series yield faster information about developments in the economy, but the values have exaggerated variance when annual seasonality is present. In this paper, we show the full process for seasonal adjustment for four important Indian time-series. We find that significant reductions of variance are obtained by using black box seasonal adjustment, at the risk of failure for some time series. Thorough knowledge about seasonal adjustment yields more reliable answers, and a roughly 15% improvement in the volatility of month-on-month changes.

Links

• Paper
• RePEc page
• Software
  • Code
    • Source code
    • Replication code
  • Data
    • Raw data
    • Diwali dates
    • Eviews output
  • Readme

Press

• Seasonal adjustment with Indian data: how big are the gains and how to do it by Rudrani Bhattacharya, Radhika Pandey, Ila Patnaik, Ajay Shah. on Ajay Shah's blog, 16^th January 2016.
• How bad is IIP growth after controlling for Diwali effects? by Radhika Pandey and Pramod Sinha on Ajay Shah's blog, 13^th January 2016.