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Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank >
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http://hdl.handle.net/10419/19676
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| Title: | | A new mixed multiplicative-additive model for seasonal adjusment  |
| 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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