Re: Barrons on monthly effect

To: pen-l@xxxxxxxxxxxxxxxxxxx
Subject: Re: Barrons on monthly effect
From: Jay Hecht <JayHecht@xxxxxxx>
Date: Tue, 9 Dec 1997 16:54:24 EST

Jim,

Which Barrons article had the stuff on "December effect." RE: Seasonal
Adjustment, the guys I work with (actuaries) refuse to deal with the Gov't
Seas Adjust problem; they'll take a lot more autoregression from using 4QMA's
rather than the stupid revisions due to bizarre seasonal factors.  While I use
the "official" seasonal adjustment algorithms (e.g. X-11 w/wo trend), the fact
that the gov't only uses 3 years of data for monthly seasonal factors is a
problem.

Bottom line - use yr/yr growth rates for monthly data!

Jason

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Thread context:
- Re: U.S. productivity, (continued)
  - Re: U.S. productivity, Jim Davis Wed 10 Dec 1997, 22:39 GMT
- re: immanent critique, James Devine Tue 09 Dec 1997, 04:18 GMT
  - <Possible follow-up(s)>
  - re: immanent critique, Ricardo Duchesne Wed 10 Dec 1997, 17:13 GMT
- Barrons on monthly effect, James Devine Tue 09 Dec 1997, 01:06 GMT
  - <Possible follow-up(s)>
  - Re: Barrons on monthly effect, Jay Hecht Tue 09 Dec 1997, 22:10 GMT
- Re: Higher Earnings That Aren't, continued, john gulick Mon 08 Dec 1997, 23:53 GMT
  - Re: Higher Earnings That Aren't, continued, Doug Henwood Tue 09 Dec 1997, 01:05 GMT
  - <Possible follow-up(s)>
  - Re: Higher Earnings That Aren't, continued, john gulick Tue 09 Dec 1997, 06:36 GMT
    - Re: Higher Earnings That Aren't, continued, Doug Henwood Tue 09 Dec 1997, 14:15 GMT

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