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An Application of TRAMO-SEATS: Changes in Seasonality and Current Trend-Cycle Assessment: the German Retail Trade Turnover Series

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Author Info

  • Regina Kaiser

    ()
    (Universidad Carlos III de Madrid)

  • Agustín Maravall

    ()
    (Banco de España)

Abstract

The paper details an application of programs TRAMO and SEATS to seasonal adjustment and trend-cycle estimation. The series considered is the German Retail Trade Turnover series, for which, when adjusting with X12-ARIMA, the Bundesbank had identified two problems. One had to do with heteroscedasticity in the seasonal component, associated with very different moving patterns for some of the months. The other one was related to the stability of the trend-cycle at the end of the series. It is seen how, starting with the fully automatic procedure and adding some simple modifications, the ARIMA-model-based approach of TRAMO-SEATS deals properly with both problems and provides good results, that are stable and robust.

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File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/00/Fic/dt0011e.pdf
File Function: First version, 2000
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Bibliographic Info

Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 0011.

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Length: 37 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:bde:wpaper:0011

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Web page: http://www.bde.es/
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Related research

Keywords: trade; turnover; seasonal fluctuations;

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References

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  1. Regina Kaiser & Agustín Maravall, 1999. "Seasonal Outliers in Time Series," Banco de Espa�a Working Papers 9915, Banco de Espa�a.
  2. Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 127-52, April.
  3. Prescott, Edward C., 1986. "Theory ahead of business-cycle measurement," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 11-44, January.
  4. Regina Kaiser & Agustín Maravall, 1999. "Estimation of the business cycle: A modified Hodrick-Prescott filter," Spanish Economic Review, Springer, vol. 1(2), pages 175-206.
  5. David A. Pierce, 1978. "Seasonal adjustment when both deterministic and stochastic seasonality are present," Special Studies Papers 107, Board of Governors of the Federal Reserve System (U.S.).
  6. David A. Pierce, 1978. "Seasonal Adjustment When Both Deterministic and Stochastic Seasonality Are Present," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 242-280 National Bureau of Economic Research, Inc.
  7. Regina Kaiser & Agustín Maravall, 1999. "Seasonal Outliers in Time Series," Banco de Espa�a Working Papers 9915, Banco de Espa�a.
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Citations

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Cited by:
  1. Luciana Crosilla, 2006. "The seasonality of ISAE business and consumer surveys: methodological aspects and empirical evidence," ISAE Working Papers 68, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).

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