A new mixed multiplicative-additive model for seasonal adjustment
Usually, seasonal adjustment is based on time series models which decompose an unadjusted series into the sum or the product of four unobservable components (trendcycle, seasonal, working-day and irregular components). In the case of clearly weatherdependent output in the west German construction in...
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| Format: | UnknownFormat |
| Sprache: | eng |
| Veröffentlicht: |
Frankfurt am Main
Dt. Bundesbank
2006
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| Schriftenreihe: | Discussion paper / Deutsche Bundesbank Series 1, Economic studies
47/2006 |
| Schlagworte: | |
| Online Zugang: | http://opus.zbw-kiel.de/volltexte/2007/5196/pdf/200647dkp.pdf http://www.bundesbank.de/download/volkswirtschaft/dkp/2006/200647dkp.pdf |
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Tag hinzufügen | Zusammenfassung: | Usually, seasonal adjustment is based on time series models which decompose an unadjusted series into the sum or the product of four unobservable components (trendcycle, seasonal, working-day and irregular components). In the case of clearly weatherdependent output in the west German construction industry, traditional considerations lead to an additive model. However, this results in an over-adjustment of calendar effects. An alternative is a multiplicative-additive mixed model, the estimation of which is illustrated using X-12-ARIMA. Finally, the relevance of the new model is shown by analysing selected time series for different countries. |
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| Beschreibung: | Zsfassung in dt. Sprache |
| Beschreibung: | 33 S. graph. Darst. b |
| ISBN: | 3865582494 3-86558-249-4 3865582508 3-86558-250-8 |