Seasonal Adjustment by Signal Extraction

DOI10.2307/2982132MaRDI QIDQ155026zbMATH OpenOpenAlexFDO

Authors J. P. Burman

Publication date 1980

Published in Journal of the Royal Statistical Society. Series A (General) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2982132

zbMATH Keywords

annual revisionsARIMA modelautocovariance generating functionbackcastextreme valuesforecastharmonic functionirregularlinear filterpartial fractionsresidual seasonalityseasonal adjustmentsignal extractiontransienttrend

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20)

Cited in

(26)

• Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter
• Linear dynamic harmonic regression
• On models and methods for Bayesian time series analysis
• A note on minimum mean squared error estimation of signals with unit roots
• Estimation error and the specification of unobserved component models
• Trend estimation and de-trending via rational square-wave filters
• Uniform convergence of sample second moments of families of time series arrays.
• Most mean powerful invariant test for testing two-dimensional parameter spaces
• Assessing direct and indirect seasonal decomposition in state space
• An application of TRAMO-SEATS; model selection and out-of-sample performance. The Swiss CPI series
• A comparison of indicators for evaluating x-11-arima seasonal adjustment
• MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION
• A Benchmarking Approach to Temporal Disaggregation of Economic Time Series by Related Series
• IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS
• Seasonal adjustment of an aggregate series using univariate and multivariate basic structural models
• Recursive and en-bloc approaches to signal extraction
• A review of some modern approaches to the problem of trend extraction
• Time series modeling and decomposition
• The effects of working with seasonally adjusted data when testing for unit root.
• Stochastic linear trends. Models and estimators
• The choice of time interval in seasonal adjustment: a heuristic approach
• On the dynamic structure of a seasonal component
• Computing observation weights for signal extraction and filtering
• Improved frequency selective filters
• Recursive estimation in econometrics
• An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment

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