Removing seasonality under a changing regime: filtering new car sales

DOI10.1016/j.csda.2011.06.021zbMath1365.62472OpenAlexW1982734445MaRDI QIDQ2361172

Michael A. Thornton

Publication date: 30 June 2017

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://eprints.whiterose.ac.uk/64524/1/newcar_AAM.pdf

zbMATH Keywords

frequency responseseasonal adjustmentsignal extractionButterworth lowpass filter

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Uses Software

• STAMP
• TRAMO

Cites Work

• Unnamed Item
• An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment
• Econometric methods of signal extraction
• Signal extraction and filtering by linear semiparametric methods
• Time series: theory and methods.
• The effect of seasonal adjustment filters on tests for a unit root (with discussion)
• Trend estimation and de-trending via rational square-wave filters
• Exact maximum likelihood estimation for non-stationary periodic time series models
• The Econometric Analysis of Seasonal Time Series
• A PROTOTYPICAL SEASONAL ADJUSTMENT MODEL
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• Spectral Analysis of Seasonal Adjustment Procedures

This page was built for publication: Removing seasonality under a changing regime: filtering new car sales