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Direkte Schätzung der Trend-Konjunktur-Komponente versus Saisonbereinigung am aktuellen Zeitreihenrand / Direct Approximation of the Trend-Cyclical-Component versus Seasonal Adjustment at the Current End of a Time Series

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  • Goldrian Georg

    (ifo Institut für Wirtschaftsforschung, Poschingerstraße 5, D-81631 München. Telefon 089/9224-1222, Fax 089/9224-2222)

Abstract

This paper compares the efficiency of two methods explaining the cyclical movement of a time series at its current end. It refers to a newly developed low-pass filter and the seasonal adjustment method, represented by ASA-II. The empirical analysis starts with a visual comparison of the results of the alternative methdos applied to five select time series. These examples point to a superior informative value of the directly estimated cyclical development. Subsequent attempts to underpin these results using stochastic simulations support the conclusion that the new filter is an interesting alternative to conventional seasonal adjustment methods, especially for short time series.

Suggested Citation

  • Goldrian Georg, 2001. "Direkte Schätzung der Trend-Konjunktur-Komponente versus Saisonbereinigung am aktuellen Zeitreihenrand / Direct Approximation of the Trend-Cyclical-Component versus Seasonal Adjustment at the Current ," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 221(2), pages 129-144, April.
    • Handle: RePEc:jns:jbstat:v:221:y:2001:i:2:p:129-144
    DOI: 10.1515/jbnst-2001-0202
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    References listed on IDEAS

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    1. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
    2. Goldrian Georg & Lehne Birgit, 1999. "Zur Approximation der Trend-Zyklus-Komponente am aktuellen Rand einer Zeitreihe / A new Approach to Approximate the Trend-Cyclical-Component at the Current End of a Time Series," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 219(3-4), pages 344-356, June.
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