Home  |  Browse  |  Authors  |  Advanced Search  |  Help
Login | Create Account
Schlicht, Ekkehart (2005): Season. A Mathematica Package for Seasonal Adjustment.

Metadaten exportieren

Autor(en) recherchieren

Lesezeichen anlegen

[img]Software
150Kb

Abstract

The package implements Schlicht's (1984) seasonal adjustment method. 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 Hodrick-Prescott 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. The package requires Mathematica 5. Available also at http://library.wolfram.com/infocenter/MathSource/6270/

Item Type:Software
Subjects:Economics
Economics > Software
Economics > Software > Statistics and Econometrics
Dewey Classification:300 Social sciences
300 Social sciences > 330 Wirtschaft
URN:urn:nbn:de:bvb:19-epub-712-7
ID Code:712
Deposited On:20. Oct 2005
Last Modified:28. Jun 2010 14:29
Open Access LMU is powered by EPrints 3 which is developed by the School of Electronics and Computer Science at the University of Southampton. More information and software creditsAbout