A Seasonal Adjustment Principle and a Seasonal Adjustment Method Derived From this Principle

Schlicht, Ekkehart (1981): A Seasonal Adjustment Principle and a Seasonal Adjustment Method Derived From this Principle. In: Journal of the American Statistical Association, Vol. 76, No. 374: pp. 374-378

Abstract

The decomposition of a given time series into trend, seasonal component, and irregular component is formulated as a minimization problem. The trend is chosen such that it is as smooth as possible; the seasonal component is chosen such that it exhibits a seasonal pattern as stable as possible; and the trend and seasonal components are jointly chosen such that the given time series is explained as well as possible by these two components; that is, the irregular component is minimized

Abstract

The so-called "Hodrick-Prescott Filter" is covered as a special case

• Item Type: Article
• Keywords: seasonal adjustment, smoothing, spline, descriptive decomposition, Hodrick-Prescott Filter
• Collections: Economics
• Subjects: 300 Social sciences > 300 Social sciences, sociology and anthropology; 300 Social sciences > 330 Economics