Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/130561 
Autor:innen: 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
Bundesbank Discussion Paper No. 07/2016
Verlag: 
Deutsche Bundesbank, Frankfurt a. M.
Zusammenfassung: 
Recent releases of X-13ARIMA-SEATS and JDemetra+ enable their users to choose between the non-parametric X-11 and the parametric ARIMA model-based approach to seasonal adjustment for any given time series without the necessity of switching between different software packages. To ease the selection process, we develop a decision tree whose branches combine conceptual differences between the two methods with empirical issues. The latter primarily include a thorough inspection of the squared gains of final X-11 and Wiener-Kolmogorov seasonal adjustment filters as well as a comparison of various revision measures. We finally illustrate the decision tree on selected German macroeconomic time series.
Schlagwörter: 
ARIMA model-based approach
linear filtering
signal extraction
unobserved components
X-11 approach
JEL: 
C13
C14
C22
ISBN: 
978-3-95729-240-7
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
1.25 MB





Publikationen in EconStor sind urheberrechtlich geschützt.