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Seasonal Adjustment in a Stochastic Model

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  • Schlicht, Ekkehart

Abstract

The 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
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Schlicht, Ekkehart, 1982. "Seasonal Adjustment in a Stochastic Model," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 38058, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    • Handle: RePEc:dar:wpaper:38058
    Note: for complete metadata visit http://tubiblio.ulb.tu-darmstadt.de/38058/
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    2. 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.
    3. Schlicht, Ekkehart, 2004. "Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter," IZA Discussion Papers 1054, Institute of Labor Economics (IZA).
    4. Schlicht, Ekkehart & Pauly, Ralf, 1982. "Descriptive Seasonal Adjustment by Minimizing Perturbations," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 39247, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).

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