A PROTOTYPICAL SEASONAL ADJUSTMENT MODEL

DOI10.1111/J.1467-9892.1987.TB00431.XzbMath0608.62115OpenAlexW2128382085MaRDI QIDQ3747570

David A. Pierce, Augustıń Maravall

Publication date: 1987

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1987.tb00431.x

zbMATH Keywords

identificationestimationfrequency domaincanonical decompositionseasonal adjustmentpreliminary estimatorARIMA processreduced form approachautocovariance equationsfinal estimatorminimum mean-squared-error estimatorsstructural-form approachesunobserved-components modelling

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (8)

Sharp filters for short sequences ⋮ Removing seasonality under a changing regime: filtering new car sales ⋮ On the dynamic structure of a seasonal component ⋮ Econometric methods of signal extraction ⋮ Data-driven decomposition of seasonal time series ⋮ A general structural model for decomposing time series and its analysis as a generalized regression model ⋮ Trend-cycle detection as a filtering problem ⋮ The effects of working with seasonally adjusted data when testing for unit root.

Cites Work

• Unnamed Item
• Signal extraction from nonstationary time series
• Signal extraction error in nonstationary time series
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• Decomposition of Seasonal Time Series: A Model for the Census X-11 Program

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