Moving Holidays and Seasonality: An Application in the Time and Frequency Domains for Turkey

Bogazici University ISS/EC Working Paper No. 01-07

34 Pages Posted: 1 Nov 2001

See all articles by C. Emre Alper

C. Emre Alper

International Monetary Fund (IMF)

S. Borağan Aruoba

University of Maryland - Department of Economics

Date Written: April 2001

Abstract

When holiday variation is present so that the dates of certain holidays change from year to year, the relatively automatic seasonal adjustment procedures may fail to extract the seasonal component from a series since the holiday effects are not confined to that component. Turkey, a predominantly Muslim country, constitutes a good example of moving holidays since the official calendar is Gregorian, based on the cycles of the earth around the sun, even though significant Islamic holidays are tied to the Hegirian calendar, based on the lunar cycles. The existence of residual deterministic seasonal effects on monthly series that have already been conventionally seasonally adjusted as well as the consequences of ignoring this type of seasonality is analyzed. Based on analyses in the time and the frequency domains, the main intuitive conclusion is that one should first check to see if there exists "residual" deterministic seasonality left in the "conventionally" deseasonalized series and remove it if it does so. Estimation results point to the importance of paying special attention to such residual deterministic seasonality.

Keywords: Moving Holidays, Calendar Variation, Seasonality, Time Domain, Frequency Domain, Hegirian Calendar

JEL Classification: C22

Suggested Citation

Alper, C. Emre and Aruoba, S. Boragan, Moving Holidays and Seasonality: An Application in the Time and Frequency Domains for Turkey (April 2001). Bogazici University ISS/EC Working Paper No. 01-07, Available at SSRN: https://ssrn.com/abstract=288368 or http://dx.doi.org/10.2139/ssrn.288368

C. Emre Alper

International Monetary Fund (IMF) ( email )

1700 19th Street, NW
Washington, DC 20431
United States

S. Boragan Aruoba (Contact Author)

University of Maryland - Department of Economics ( email )

College Park, MD 20742
United States
301-405-3508 (Phone)
301-405-3542 (Fax)

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