A new mixed multiplicative-additive model for seasonal adjustment / Stephanus Arz.
Tipo de material: TextoSeries Discussion paper (Deutsche Bundesbank). Series 1: economic studies ; ; no. 47/2006Detalles de publicación: Frankfurt am Main : Deutsche Bundesbank, 2006Descripción: 33 pISBN:- 3865582494
- 21 338.45624
Tipo de ítem | Biblioteca actual | Signatura topográfica | Estado | Fecha de vencimiento | Código de barras | |
---|---|---|---|---|---|---|
Documento | Biblioteca Manuel Belgrano | F 338.45624 A 21082 (Navegar estantería(Abre debajo)) | Disponible | 21082 F |
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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