The choice of time interval in seasonal adjustment: a heuristic approach

DOI10.1007/S00362-006-0295-XzbMATH Open1125.62095OpenAlexW1981589044MaRDI QIDQ849869FDOQ849869

Edoardo Otranto, Giancarlo Bruno

Publication date: 14 November 2006

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-006-0295-x

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zbMATH Keywords

distancestructural breakARIMA modelslinear filters

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20)

Cites Work

• Seasonal Adjustment by Signal Extraction
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• A DISTANCE MEASURE FOR CLASSIFYING ARIMA MODELS
• The effect of linear filters on dynamic time series with structural change
• The effect of seasonal adjustment filters on tests for a unit root (with discussion)
• Controlling Revisions in Arima‐Model‐Based Seasonal Adjustment

Uses Software

• TRAMO

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