An ARIMA-Model-Based Approach to Seasonal Adjustment
From MaRDI portal
Publication:3942261
DOI10.2307/2287770zbMath0483.62075OpenAlexW4238432077MaRDI QIDQ3942261
Steven C. Hillmer, George C. Tiao
Publication date: 1982
Full work available at URL: https://doi.org/10.2307/2287770
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Related Items
Trends cycles and seasons: Econometric methods of signal extraction ⋮ 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 ⋮ Smoothing time-series data by nonmetric polytone curves ⋮ A note on minimum mean squared error estimation of signals with unit roots ⋮ A Review of Some Modern Approaches to the Problem of Trend Extraction ⋮ A PROTOTYPICAL SEASONAL ADJUSTMENT MODEL ⋮ Optimal signal extraction with correlated components ⋮ Optimal real-time filters for linear prediction problems ⋮ From general state-space to VARMAX 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 ⋮ On the dynamic structure of a seasonal component ⋮ An application of TRAMO-SEATS; model selection and out-of-sample performance. The Swiss CPI series ⋮ Stochastic linear trends. Models and estimators ⋮ 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 ⋮ A general structural model for decomposing time series and its analysis as a generalized regression model ⋮ Recursive and en-bloc approaches to signal extraction ⋮ A comparison of indicators for evaluating x-11-arima seasonal adjustment ⋮ Automatic time series modeling,intervention analysis, and effective forecasting ⋮ The effects of working with seasonally adjusted data when testing for unit root. ⋮ A conversation with David Findley ⋮ Statistical Properties of Model-Based Signal Extraction Diagnostic Tests ⋮ Time series modeling and decomposition ⋮ Estimation error and the specification of unobserved component models ⋮ MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION ⋮ Signal extraction and filtering by linear semiparametric methods ⋮ Linear dynamic harmonic regression ⋮ Non-Gaussian seasonal adjustment ⋮ IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS ⋮ Trend estimation and de-trending via rational square-wave filters ⋮ Signal extraction goodness-of-fit diagnostic tests under model parameter uncertainty: Formulations and empirical evaluation
