Seasonal Adjustment in a Stochastic Model
AbstractThe aim of this paper is to develop a model-based seasonal adjustment method which will yield the same decomposition formulas as the descriptive seasonal adjustment procedures proposed in Schlicht/Pauly (1984) and Schlicht (1981). Hence the duality between the descriptive and the model-based approaches to seasonal adjustment referred to in Schlicht (1981) is resolved for this class of statistical models and descriptive procedures. In addition, estimates for the weights used in the descriptive procedures can be obtained in the stochastic framework, in principle
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Bibliographic InfoPaper provided by Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL) in its series Darmstadt Discussion Papers in Economics with number 38058.
Date of creation: Nov 1982
Date of revision:
Publication status: Published in Darmstadt Discussion Papers in Economics . 025 (1982-11)
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- Schlicht, Ekkehart & Pauly, Ralf, 1983.
"Descriptive Seasonal Adjustment by Minimizing Perturbations,"
Munich Reprints in Economics
3346, University of Munich, Department of Economics.
- Schlicht, Ekkehart & Pauly, Ralf, 1982. "Descriptive Seasonal Adjustment by Minimizing Perturbations," Darmstadt Discussion Papers in Economics 39247, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL).
- Schlicht, Ekkehart, 1981. "A Seasonal Adjustment Principle and a Seasonal Adjustment Method Derived From this Principle," Munich Reprints in Economics 3374, University of Munich, Department of Economics.
- Schlicht, Ekkehart, 2004.
"Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter,"
IZA Discussion Papers
1054, Institute for the Study of Labor (IZA).
- Schlicht, Ekkehart, 2004. "Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter," Discussion Papers in Economics 304, University of Munich, Department of Economics.
- Dermoune Azzouz & Djehiche Boualem & Rahmania Nadji, 2009. "Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(3), pages 1-35, May.
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