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A Seasonal Adjustment Principle and a Seasonal Adjustment Method Derived From this Principle

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Author Info

  • Schlicht, Ekkehart

Abstract

The decomposition of a given time series into trend, seasonal component, and irregular component is formulated as a minimization problem. The trend is chosen such that it is as smooth as possible; the seasonal component is chosen such that it exhibits a seasonal pattern as stable as possible; and the trend and seasonal components are jointly chosen such that the given time series is explained as well as possible by these two components; that is, the irregular component is minimized

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File URL: http://epub.ub.uni-muenchen.de/3374/1/17.pdf
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Bibliographic Info

Paper provided by University of Munich, Department of Economics in its series Munich Reprints in Economics with number 3374.

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Date of creation: 1981
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Publication status: Published in Journal of the American Statistical Association 374 76(1981): pp. 374-378
Handle: RePEc:lmu:muenar:3374

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Related research

Keywords: seasonal adjustment; smoothing; spline; descriptive decomposition; Hodrick-Prescott Filter;

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Cited by:
  1. Schlicht, Ekkehart, 1982. "Seasonal Adjustment in a Stochastic Model," Darmstadt Discussion Papers in Economics 38058, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL).
  2. Jaromír Baxa & Roman Horváth & Bořek Vašíček, 2010. "How Does Monetary Policy Change? Evidence on Inflation Targeting Countries," Working Papers IES 2010/26, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2010.
  3. Jaromír Baxa & Roman Horváth & Borek Vasícek, 2011. "Monetary Policy Rules and Financial Stress: Does Financial Instability Matter for Monetary," Working Papers wpdea1101, Department of Applied Economics at Universitat Autonoma of Barcelona.
  4. Schlicht, Ekkehart, 2008. "Trend Extraction From Time Series With Structural Breaks and Missing Observations," Discussion Papers in Economics 2127, University of Munich, Department of Economics.

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