On seasonal filters and monotonicity

Abstract

Seasonal adjustment is important in for example economic time series where the variation can be due to both seasonal and cyclical movements. In a situation where we want to detect a turning point of a cyclical process exhibiting seasonal variation, it is very important that the seasonal adjustment does not adversely affect the ability to detect the turning points. Thus, it is important that the seasonal adjustment does not alter the monotonicity. In this report, seasonal adjustment using differentiation and moving average methods is analyzed with respect to the effect on turning points.