Removing seasonality under a changing regime: Filtering new car sales

TY - JOUR

T1 - Removing seasonality under a changing regime

T2 - Filtering new car sales

AU - Thornton, Michael Alan

PY - 2013/3

Y1 - 2013/3

N2 - 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.

AB - 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.

KW - Seasonal adjustment; Signal extraction; Frequency response; Butterworth lowpass filter

UR - http://www.scopus.com/inward/record.url?scp=79959925249&partnerID=8YFLogxK

U2 - 10.1016/j.csda.2011.06.021

DO - 10.1016/j.csda.2011.06.021

M3 - Article

SN - 0167-9473

VL - 58

SP - 4

EP - 14

JO - Computational Statistics & Data Analysis

JF - Computational Statistics & Data Analysis

IS - 1

M1 - 4

ER -