Moving holidays and seasonal adjustment: the case of Turkey

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, while significant Islamic holidays are tied to the Hegirian calendar, based on the lunar cycles. One finds significant deterministic seasonality remains in the conventionally de-seasonalized time series and removing the effects of religious seasonality using a very simple method improves the qualities of the de-seasonalized component.

Keywords:

• calendar variation
• Hegirian calendar
• JEL Classification: C22

Acknowledgments

The authors would like to thank Frank Schorfheide for helpful discussions and William Bell, Clive Granger and Marc Nerlove and an anonymous referee for comments and suggestions. The usual disclaimer applies. CEA acknowledges financial support from Bogazici University Research Fund #01C103.

Notes

Previous research on the Turkish data by Alper (1998) revealed insignificant differences in results when an alternative detrending method was considered.

It should be noted that the results of the paper are robust when alternative methods, such as linear trend removal and the X-12 method of the Bureau of the Census, are employed.

Of course, one must keep in mind that the nuance mentioned by the criterion is not for comparing two or more methods. Rather, it is for judging the quality of a method. When judged separately, all three methods seem to pass this test.