Unseasonal Seasonals?

摘要

In any seasonal adjustment filter, some cyclical variation will be misattributed to seasonal factors and vice versa. The issue has long been well understood but it has resurfaced as a problem of special concern because the timing of the sharp downturn during the Great Recession appears to have distorted seasonals. In this paper, I find that initially this effect pushed reported seasonally adjusted nonfarm payrolls up in the first half of the year and down in the second half of the year, by slightly more than 100,000 in both cases. But the effect declined in later years and is quite small at the time of writing. Going beyond the special case of the Great Recession, I argue for using filters that constrain the seasonal factors to be more stable than the default filters used by U.S. statistical agencies, and also for using filters that are based on estimation of a state-space model. Finally, I report some evidence of predictability in revisions to seasonal factors.