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Removing seasonality under a changing regime: Filtering new car sales

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Publication details

JournalComputational Statistics & Data Analysis
DateE-pub ahead of print - 11 Sep 2011
DatePublished (current) - Mar 2013
Issue number1
Volume58
Number of pages10
Pages (from-to)4-14
Early online date11/09/11
Original languageEnglish

Abstract

The use of filters for the seasonal adjustment of data generated by the UK new car market is considered. UK new car registrations display very strong seasonality brought about by the system of identifiers in the UK registration plate, which has mutated in response to an increase in the frequency with which the identifier changes, while it also displays low frequency volatility that reflects UK macroeconomic conditions. Given the periodogram of the data, it is argued that an effective seasonal adjustment can be performed using a Butterworth lowpass filter. The results of this are compared with those based on adjustment using X-12 ARIMA and model-based methods.

    Research areas

  • Seasonal adjustment; Signal extraction; Frequency response; Butterworth lowpass filter

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