An ARIMA-Model-Based Approach to Seasonal Adjustment

DOI10.2307/2287770MaRDI QIDQ3942261zbMATH OpenOpenAlexFDO

Authors Steven C. Hillmer, George C. Tiao

Publication date 1982

Full work available at URL https://doi.org/10.2307/2287770

zbMATH Keywords

canonical decompositioncensus X-11 programmodel-based decompositionpseudospectral density function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cited in

(38)

• Signal extraction and filtering by linear semiparametric methods
• Linear dynamic harmonic regression
• A note on minimum mean squared error estimation of signals with unit roots
• Optimal signal extraction with correlated components
• Optimal real-time filters for linear prediction problems
• Estimation error and the specification of unobserved component models
• Non-Gaussian seasonal adjustment
• Trend estimation and de-trending via rational square-wave filters
• Removing seasonality under a changing regime: filtering new car sales
• The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
• A general structural model for decomposing time series and its analysis as a generalized regression model
• An application of TRAMO-SEATS; model selection and out-of-sample performance. The Swiss CPI series
• Automatic time series modeling,intervention analysis, and effective forecasting
• Smoothing time-series data by nonmetric polytone curves
• A comparison of indicators for evaluating x-11-arima seasonal adjustment
• MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION
• A PROTOTYPICAL SEASONAL ADJUSTMENT MODEL
• From general state-space to VARMAX models
• IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS
• State space modelling and spectral analysis of cointegrated vector processes (evidence from the U.S. and Scandinavian economies)
• LINEAR INTERPOLATORS AND THE INVERSE CORRELATION FUNCTION OF NON‐STATIONARY TIME SERIES
• Recursive and en-bloc approaches to signal extraction
• Trends cycles and seasons: econometric methods of signal extraction
• A review of some modern approaches to the problem of trend extraction
• Time series modeling and decomposition
• Statistical Properties of Model-Based Signal Extraction Diagnostic Tests
• Signal extraction goodness-of-fit diagnostic tests under model parameter uncertainty: Formulations and empirical evaluation
• The effects of working with seasonally adjusted data when testing for unit root.
• A conversation with David Findley
• Stochastic processes in a confining harmonic potential in the presence of static and dynamic measurement noise
• Stochastic linear trends. Models and estimators
• tsdecomp
• On the dynamic structure of a seasonal component
• Recursive estimation in econometrics
• An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment
• An iterated parametric approach to nonstationary signal extraction
• Decomposition of time series models in state-space form
• Econometric methods of signal extraction

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