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An Application of TRAMO-SEATS: Changes in Seasonality and Current Trend-Cycle Assessment: the German Retail Trade Turnover Series

Author

Listed:
  • Regina Kaiser

    (Universidad Carlos III de Madrid)

  • Agustín Maravall

    (Banco de España)

Abstract

The paper details an application of programs TRAMO and SEATS to seasonal adjustment and trend-cycle estimation. The series considered is the German Retail Trade Turnover series, for which, when adjusting with X12-ARIMA, the Bundesbank had identified two problems. One had to do with heteroscedasticity in the seasonal component, associated with very different moving patterns for some of the months. The other one was related to the stability of the trend-cycle at the end of the series. It is seen how, starting with the fully automatic procedure and adding some simple modifications, the ARIMA-model-based approach of TRAMO-SEATS deals properly with both problems and provides good results, that are stable and robust.

Suggested Citation

  • Regina Kaiser & Agustín Maravall, 2000. "An Application of TRAMO-SEATS: Changes in Seasonality and Current Trend-Cycle Assessment: the German Retail Trade Turnover Series," Working Papers 0011, Banco de España.
    • Handle: RePEc:bde:wpaper:0011
    as

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    References listed on IDEAS

    as
    1. Prescott, Edward C., 1986. "Theory ahead of business-cycle measurement," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 11-44, January.
    2. Regina Kaiser & Agustín Maravall, 1999. "Estimation of the business cycle: A modified Hodrick-Prescott filter," Spanish Economic Review, Springer;Spanish Economic Association, vol. 1(2), pages 175-206.
    3. Regina Kaiser & Agustín Maravall, 1999. "Seasonal Outliers in Time Series," Working Papers 9915, Banco de España.
    4. David A. Pierce, 1978. "Seasonal Adjustment When Both Deterministic and Stochastic Seasonality Are Present," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 242-280, National Bureau of Economic Research, Inc.
    5. Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 127-152, April.
    6. David A. Pierce, 1978. "Seasonal adjustment when both deterministic and stochastic seasonality are present," Special Studies Papers 107, Board of Governors of the Federal Reserve System (U.S.).
    7. Maravall, Agustín, 1999. "Seasonal outliers in time series," DES - Working Papers. Statistics and Econometrics. WS 6333, Universidad Carlos III de Madrid. Departamento de Estadística.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Luciana Crosilla, 2006. "The seasonality of ISAE business and consumer surveys: methodological aspects and empirical evidence," ISAE Working Papers 68, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    2. Martelotte Marcela Cohen & Souza Reinaldo Castro & Silva Eduardo Antônio Barros da, 2017. "Design of Seasonal Adjustment Filter Robust to Variations in the Seasonal Behaviour of Time Series," Journal of Official Statistics, Sciendo, vol. 33(1), pages 155-186, March.

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    More about this item

    Keywords

    trade; turnover; seasonal fluctuations;
    All these keywords.

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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