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Working paper

Сезонная корректировка как источник ложных сигналов

Бессонов В. А., Петроневич А. В.
The paper analyzes aberrations that appear as a side-effect of seasonal adjustment when applied to time series of economic data in the neighborhood of an abrupt change in level, the pattern of dynamics that was typical for economic crises. Under these circumstances the standard algorithms of seasonal adjustment are shown to be able to produce spurious signals that we characterize as foreshocks and aftershocks. These signals can significantly distort the understanding of short-term behavior of data, particularly during first several years following the beginning of a crisis. The monitoring of short-term trends within this «blind zone» is extremely problematic.