Seasonal Adjustment when Both Deterministic and Stochastic Seasonality are Present
Author: David A. Pierce
Publisher:
Published: 1976
Total Pages: 76
ISBN-13:
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Author: David A. Pierce
Publisher:
Published: 1976
Total Pages: 76
ISBN-13:
DOWNLOAD EBOOKAuthor: David A. Pierce
Publisher:
Published: 1978
Total Pages: 0
ISBN-13:
DOWNLOAD EBOOKAuthor: David A. Pierce
Publisher:
Published: 1976
Total Pages: 72
ISBN-13:
DOWNLOAD EBOOKAuthor: David A. Pierce
Publisher:
Published: 1976
Total Pages: 56
ISBN-13:
DOWNLOAD EBOOKAuthor: Estela Bee Dagum
Publisher: Springer
Published: 2016-06-27
Total Pages: 0
ISBN-13: 9783319318202
DOWNLOAD EBOOKThis book explores widely used seasonal adjustment methods and recent developments in real time trend-cycle estimation. It discusses in detail the properties and limitations of X12ARIMA, TRAMO-SEATS and STAMP - the main seasonal adjustment methods used by statistical agencies. Several real-world cases illustrate each method and real data examples can be followed throughout the text. The trend-cycle estimation is presented using nonparametric techniques based on moving averages, linear filters and reproducing kernel Hilbert spaces, taking recent advances into account. The book provides a systematical treatment of results that to date have been scattered throughout the literature. Seasonal adjustment and real time trend-cycle prediction play an essential part at all levels of activity in modern economies. They are used by governments to counteract cyclical recessions, by central banks to control inflation, by decision makers for better modeling and planning and by hospitals, manufacturers, builders, transportation, and consumers in general to decide on appropriate action. This book appeals to practitioners in government institutions, finance and business, macroeconomists, and other professionals who use economic data as well as academic researchers in time series analysis, seasonal adjustment methods, filtering and signal extraction. It is also useful for graduate and final-year undergraduate courses in econometrics and time series with a good understanding of linear regression and matrix algebra, as well as ARIMA modelling.
Author: Barend Abeln
Publisher: Springer Nature
Published: 2023-02-13
Total Pages: 94
ISBN-13: 3031228456
DOWNLOAD EBOOKSeasonality in economic time series can "obscure" movements of other components in a series that are operationally more important for economic and econometric analyses. In practice, one often prefers to work with seasonally adjusted data to assess the current state of the economy and its future course. This book presents a seasonal adjustment program called CAMPLET, an acronym of its tuning parameters, which consists of a simple adaptive procedure to extract the seasonal and the non-seasonal component from an observed series. Once this process is carried out, there will be no need to revise these components at a later stage when new observations become available. The authors describe the main features of CAMPLET, evaluate the outcomes of CAMPLET and X-13ARIMA-SEATS in a controlled simulation framework using a variety of data generating processes, and illustrate CAMPLET and X-13ARIMA-SEATS with three time series: US non-farm payroll employment, operational income of Ahold and real GDP in the Netherlands. Furthermore they show how CAMPLET performs under the COVID-19 crisis, and its attractiveness in dealing with daily data. This book appeals to scholars and students of econometrics and statistics, interested in the application of statistical methods for empirical economic modeling.
Author: Wing-kuen Tam
Publisher:
Published: 1996
Total Pages: 296
ISBN-13:
DOWNLOAD EBOOKAuthor: F. A. G. den Butter
Publisher: North Holland
Published: 1991
Total Pages: 236
ISBN-13:
DOWNLOAD EBOOKPresented in this book is the theory and the practice of seasonal adjustment of economic series from the viewpoint of economic policy design. The book offers the economist and practical statistician the opportunity to acquire new and important analytical insights as well as practical tools. Moreover, it discusses the historical development of the practice of seasonal adjustment as applied for policy analysis with Persons in the early twenties, via Zaycoff and Mendershausen in the thirties, through present day modelling with the aid of Kalman filters. Each method treated is empirically illustrated while a comparative analysis is made to assess the appropriateness of the various methods.
Author: Dominique Ladiray
Publisher: Springer Science & Business Media
Published: 2012-12-06
Total Pages: 245
ISBN-13: 1461301750
DOWNLOAD EBOOKThe most widely used statistical method in seasonal adjustment is implemented in the X-11 Variant of the Census Method II Seasonal Adjustment Program. Developed by the US Bureau of the Census, it resulted in the X-11-ARIMA software and the X-12-ARIMA. While these integrate parametric methods, they remain close to the initial X-11 method, and it is this "core" that Seasonal Adjustment with the X-11 Method focuses on. It will be an important reference for government agencies, and other serious users of economic data.
Author: Estela Bee Dagum
Publisher: Statistics Canada
Published: 1980
Total Pages: 132
ISBN-13:
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