Seasonal Adjustment and Signal Extraction in Economic Time Series
AbstractThe paper deals with seasonal adjustment and trend estimation as a signal extraction problem in a regression-ARIMA model-based framework. This framework includes the capacity to preadjust the series by removing outliers and deterministic effects in general. For the preadjusted series the model considered is that of an ARIMA model for the aggregate series, with ARIMA-type models for the components.
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Bibliographic InfoPaper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 9809.
Length: 61 pages
Date of creation: 1998
Date of revision:
TIME SERIES ; SEASONAL FLUCTUATIONS;
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- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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