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Die Saisonbereinigung im ifo Konjunkturtest – Umstellung auf das X-13ARIMA-SEATS-Verfahren

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  • Stefan Sauer
  • Klaus Wohlrabe

Abstract

Die Saisonbereinigung ist ein elementarer Bestandteil bei der Berechnung der Ergebnisreihen des ifo Konjunkturtests. Ab Januar 2015 erfolgt hier eine Umstellung der Methode vom ASA-II-Verfahren auf das international weit verbreitete X-13ARIMA-SEATS-Verfahren. Der Artikel zeigt das grundlegende Konzept, die im Zuge der Umstellung zum Teil veränderten Eigenschaften der Zeitreihen und die Vorteile der neuen Vorgehensweise auf.

Suggested Citation

  • Stefan Sauer & Klaus Wohlrabe, 2015. "Die Saisonbereinigung im ifo Konjunkturtest – Umstellung auf das X-13ARIMA-SEATS-Verfahren," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 68(01), pages 32-42, January.
    • Handle: RePEc:ces:ifosdt:v:68:y:2015:i:01:p:32-42
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    References listed on IDEAS

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    1. Klaus Abberger & Wolfgang Nierhaus, 2009. "Months for Cyclical Dominance und ifo Geschäftsklima," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 62(07), pages 11-19, April.
    2. Timo Wollmershäuser & Wolfgang Nierhaus & Tim Oliver Berg & Christian Breuer & Teresa Buchen & Christian Grimme & Steffen Henzel & Atanas Hristov & Nikolay Hristov & Michael Kleemann & Wolfgang Meiste, 2014. "ifo Konjunkturprognose 2014/2015: Deutsche Wirtschaft gewinnt allmählich wieder an Schwung," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 67(24), pages 37-81, December.
    3. Klaus Abberger & Klaus Wohlrabe, 2006. "Einige Prognoseeigenschaften des ifo Geschäftsklimas - Ein Überblick über die neuere wissenschaftliche Literatur," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(22), pages 19-26, November.
    4. Steffen Henzel, 2015. "Prognosekraft des ifo Konjunkturtests – Einfluss der neuen Saisonbereinigung mit X-13ARIMA-SEATS," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 68(01), pages 59-63, January.
    5. Christian Seiler & Klaus Wohlrabe, 2013. "Das ifo Geschäftsklima und die deutsche Konjunktur," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 66(18), pages 17-21, October.
    6. Hylleberg, S. (ed.), 1992. "Modelling Seasonality," OUP Catalogue, Oxford University Press, number 9780198773184.
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    Citations

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    Cited by:

    1. Robert Lehmann & Felix Leiss & Simon Litsche & Stefan Sauer & Michael Weber & Annette Weichselberger & Klaus Wohlrabe, 2019. "Mit den ifo-Umfragen regionale Konjunktur verstehen," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 72(09), pages 45-49, May.
    2. Steffen Henzel, 2015. "Prognosekraft des ifo Konjunkturtests – Einfluss der neuen Saisonbereinigung mit X-13ARIMA-SEATS," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 68(01), pages 59-63, January.
    3. Przemyslaw Brandt & Christian Grotemeier & Klaus Wohlrabe, 2017. "BVL-Logistikindikator – Hintergründe, Entwicklungen und Ergebnisse," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 70(20), pages 36-42, October.
    4. Klaus Borger & Stefan Sauer, 2019. "KfW-ifo-Mittelstandsbarometer: Unterkühlte Stimmung im Mittelstand," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 72(18), pages 49-51, September.
    5. Stefan Sauer & Klaus Wohlrabe, 2020. "ifo Handbuch der Konjunkturumfragen," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 88.
    6. Wolfgang Nierhaus & Klaus Abberger, 2015. "ifo Konjunkturampel revisited," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 68(05), pages 27-32, March.

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    More about this item

    Keywords

    Saisonbereinigung; Saisonkomponente; ARMA-Modell; Konjunkturprognose; Wirtschaftsprognose;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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