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Season. A Mathematica Package for Seasonal Adjustment

Author

Listed:
  • Schlicht, Ekkehart

Programming Language

mathematica

Abstract

This Zip-Archive provides a Mathematica package and documentation for the seasonal adjustment method proposed by Schlicht and Pauly (1983) and Schlicht (1984) covering Mathematica versions 6 and up. The method makes use of non-parametric splines. It decomposes a time series into a trend, a seasonal component, and an irregular component. The method combines the trend filter proposed by Leser (1961) (also known as the HP-Filter), the seasonal filter proposed by Schlicht and Pauly (1983) and the orthogonal parametrization proposed by Schlicht (1984). In contrast to prevailing methods, it is based on an explicit statistical model (state-space) and estimates the smoothing parameters by a maximum-likelihood method.

Suggested Citation

  • Schlicht, Ekkehart, 2020. "Season. A Mathematica Package for Seasonal Adjustment," Software in Economics 74306, University of Munich, Department of Economics.
    • Handle: RePEc:lmu:muenso:74306
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    File URL: https://epub.ub.uni-muenchen.de/74306/1/Season.zip
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    More about this item

    Keywords

    Seasonal adjustment; flexible seasonal adjustment; splines; non-parametric splines; state-space; HP filter; Mathematica; penalized öleast squares; mathematica;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • 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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