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Season. A Mathematica Package for Seasonal Adjustment

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Author Info

  • Schlicht, Ekkehart

Abstract

The package implements Schlicht's (1984) seasonal adjustment method. It decomposes a time series into a trend, a seasonal component, and an irregular component. The method combines the trend filter proposed by Leser (1961) (also known as the Hodrick-Prescott filter), the seasonal filter proposed by Schlicht and Pauly (1983) and the orthogonal parametrization proposed by Schlicht (1984). In contrast to prevailing methods, it is based on an explicit statistical model (state-space) and estimates the smoothing parameters by a maximum-likelihood method. The package requires Mathematica 5. Available also at http://library.wolfram.com/infocenter/MathSource/6270/

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File URL: http://epub.ub.uni-muenchen.de/712/1/Season.zip
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Bibliographic Info

Software component provided by University of Munich, Department of Economics in its series Software in Economics with number 712.

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Programming language: mathematica
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Date of creation: 2005
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Handle: RePEc:lmu:muenso:712

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Web page: http://www.vwl.uni-muenchen.de
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