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Title:A new mixed multiplicative-additive model for seasonal adjusment PDF Logo
Authors:Arz, Stephanus
Issue Date:2006
Series/Report no.:Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2006,47
Abstract:Usually, seasonal adjustment is based on time series models which decompose an unadjusted series into the sum or the product of four unobservable components (trendcycle, seasonal, working-day and irregular components). In the case of clearly weatherdependent output in the west German construction industry, traditional considerations lead to an additive model. However, this results in an over-adjustment of calendar effects. An alternative is a multiplicative-additive mixed model, the estimation of which is illustrated using X-12-ARIMA. Finally, the relevance of the new model is shown by analysing selected time series for different countries.
Subjects:Seasonal adjustment
calendar adjustment
over-adjustment
multiplicative-additive model
X-12-ARIMA
JEL:C22
Document Type:Working Paper
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

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