讲座主题：Seasonal adjustment of time series observed at mixed frequencies using singular value decomposition with wavelet thresholding

主讲嘉宾：林蔚，对外经济贸易大学国际经济贸易学院

讲座时间：2022年4月27日14:00-16:00

讲座地点：腾讯会议ID 909 188 160

嘉宾简介：林蔚，对外经济贸易大学国际经济贸易学院副教授。在加州大学河滨分校获得经济学博士学位，主要研究领域包括计量经济学、季节调整和非参数方法。他在Journal of Econometrics, Journal of Business and Economic Statistics, Journal of Applied Econometrics等国际学术期刊上发表学术论文数篇，主持两项国家自科基金。

内容摘要：In this paper, we propose a novel seasonal adjustment method that accommodates the time series observed at mixed frequencies and possessing possibly multiple abrupt changes in seasonality, under the assumption that the nonseasonal component is difference stationary. Through a generalized difference, we remove the stochastic trend of the mixed frequency time series. Meanwhile, we express the seasonal component in terms of a matrix with a low rank SVD structure. The right and left singular vectors correspond to the seasonal patterns and their time-varying amplitudes. To estimate the SVD structure of seasonality and thus recover the seasonal component, we propose an effective algorithm that applies the wavelet thresholding technique to the left singular vectors. Our proposed method not only accommodates the persistence feature of seasonality, but also allows for the existence of possibly multiple abrupt changes in seasonality. Using both simulated and real data, we find that (i) when the seasonality is moderate or strong our proposed method performs well and correctly detecting the underlying seasonality structure; and (ii) for single frequency time series, the performance of our proposed method compares well with those of the traditional X-12-ARIMA and SEATS methods, especially in the case when the seasonality is strong.