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Seasonal Adjustment in a Stochastic Model

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  • Schlicht, Ekkehart

Abstract

The aim of this paper is to develop a model-based seasonal adjustment method which will yield the same decomposition formulas as the descriptive seasonal adjustment procedures proposed in Schlicht/Pauly (1984) and Schlicht (1981). Hence the duality between the descriptive and the model-based approaches to seasonal adjustment referred to in Schlicht (1981) is resolved for this class of statistical models and descriptive procedures. In addition, estimates for the weights used in the descriptive procedures can be obtained in the stochastic framework, in principle

Suggested Citation

  • Schlicht, Ekkehart, 1984. "Seasonal Adjustment in a Stochastic Model," Munich Reprints in Economics 3371, University of Munich, Department of Economics.
    • Handle: RePEc:lmu:muenar:3371
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    File URL: https://epub.ub.uni-muenchen.de/3371/1/27.pdf
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    References listed on IDEAS

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    1. Hirotugu Akaike, 1980. "Seasonal Adjustment By A Bayesian Modeling," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 1-13, January.
    2. Schlicht, Ekkehart & Pauly, Ralf, 1982. "Descriptive Seasonal Adjustment by Minimizing Perturbations," Darmstadt Discussion Papers in Economics 16, Darmstadt University of Technology, Department of Law and Economics.
    3. Schlicht, Ekkehart, 1981. "A Seasonal Adjustment Principle and a Seasonal Adjustment Method Derived From this Principle," Munich Reprints in Economics 3374, University of Munich, Department of Economics.
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    Cited by:

    1. Dermoune Azzouz & Djehiche Boualem & Rahmania Nadji, 2009. "Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(3), pages 1-35, May.
    2. Schlicht, Ekkehart & Pauly, Ralf, 1982. "Descriptive Seasonal Adjustment by Minimizing Perturbations," Darmstadt Discussion Papers in Economics 16, Darmstadt University of Technology, Department of Law and Economics.
    3. Schlicht, Ekkehart, 2004. "Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter," IZA Discussion Papers 1054, Institute of Labor Economics (IZA).

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