Time series are demeaned when sample autocorrelation functions are computed. By the same logic it would seem appealing to remove seasonal means from seasonal time series before computing sample autocorrelation functions. Yet, standard practice is only to remove the overall mean and ignore the...

The standard testing procedures for seasonal unit roots developed so far have been based0501nly on time invariant ARMA processes with AR polynomials involving seasonal differencing. One attractive alternative is to employ periodic ARMA models in which the coefficients are allowed to vary with...

In this paper, we investigate whether seasonal adjustment procedures are, at least approximately, linear data transformations. This question is important with respect to many issues including estimation of regression models with seasonally adjusted data. We focus on the X-11 program and first...

In this paper we try to enhance our understanding of the effect of filtering, particularly seasonal adjustment filtering, on the estimation of volatility models. We focus exclusively on ARCH models as a specific class of models and examine the effect of both linear and nonlinear filters on...