[SciPy-User] Seasonal adjustment in scipy/python?

josef.pktd@gmai... josef.pktd@gmai...
Thu Jan 14 14:20:53 CST 2010


On Thu, Jan 14, 2010 at 3:10 PM, Alan G Isaac <aisaac@american.edu> wrote:
> On 1/14/2010 2:44 PM, totalbull@mac.com wrote:
>> I am looking to seasonally adjust some data series in Python -
>
>>>> help(np.diff)
> Help on function diff in module numpy.lib.function_base:
>
> diff(a, n=1, axis=-1)
>     Calculate the nth order discrete difference along given axis.

diff doesn't work for seasonal, order is (1-L)^n not (1-L^n)
(although possible after reshaping)

BTW: residual of the regression on month dummies is just the same as
subtracting the sample average for that month.

Josef

>
> hth,
> Alan Isaac
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