Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/19676
Authors: 
Arz, Stephanus
Year of Publication: 
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

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