An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment

DOI10.1016/j.csda.2005.07.006zbMath1316.62175OpenAlexW2027743088MaRDI QIDQ959305

Agustin Maravall

Publication date: 11 December 2008

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

Full work available at URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/05/Fic/dt0524e.pdf

zbMATH Keywords

seasonal adjustmentapplied time series analysisdirect and indirect adjustmentregression-ARIMA modelstrend-cycle estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (9)

Removing seasonality under a changing regime: filtering new car sales ⋮ Assessing direct and indirect seasonal decomposition in state space ⋮ Temporal disaggregation of economic time series: The view from the trenches ⋮ Seasonal adjustment subject to accounting constraints ⋮ Multiple-group adjustment method in indirect adjustment ⋮ Editorial: 2nd special issue on statistical signal extraction and filtering ⋮ Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter ⋮ Linear dynamic harmonic regression ⋮ Forecasting binary longitudinal data by a functional PC-ARIMA model

Uses Software

• TRAMO

Cites Work

• Unnamed Item
• Unnamed Item
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• Signal extraction from nonstationary time series
• Signal extraction error in nonstationary time series
• Data revisions with moving average seasonal adjustment procedures
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• Estimation error and the specification of unobserved component models
• The Econometric Analysis of Seasonal Time Series
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• Intervention Analysis with Applications to Economic and Environmental Problems
• Decomposition of Seasonal Time Series: A Model for the Census X-11 Program
• Computation of asymmetric signal extraction filters and mean squared error for ARIMA component models
• Joint Estimation of Model Parameters and Outlier Effects in Time Series

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