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Bereinigung von Ausreißern und Kalendereffekten und Saisonbereinigung von ökonomischen Zeitreihen

Author

Listed:
  • Gerhard Thury

    (WIFO)

  • Michael Wüger

    (WIFO)

Abstract

Anhand von drei ökonomischen Zeitreihen wird ein Verfahren zum Auffinden und Beseitigen von Ausreißern getestet, das ohne Vorinformationen über die Lage der Ausreißer auskommt und Modellparameter und Ausreißer simultan schätzt. Die Ergebnisse zeigen, daß dieser Ansatz eine Alternative zu Interventionsmodellen sein kann. Außerdem verringert die Berücksichtigung von Kalender- und Ausreißereffekten die Varianz von modellgestützten Saisonbereinigungsverfahren deutlich und bringt zum Teil auch signifikante Verbesserungen gegenüber rein empirisch-technischen Verfahren (Census X-11).

Suggested Citation

  • Gerhard Thury & Michael Wüger, 1992. "Bereinigung von Ausreißern und Kalendereffekten und Saisonbereinigung von ökonomischen Zeitreihen," WIFO Monatsberichte (monthly reports), WIFO, vol. 65(9), pages 488-495, September.
    • Handle: RePEc:wfo:monber:y:1992:i:9:p:488-495
    Note: With English abstract.
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