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, Bd. 76, Nr. 374: S. 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

• Dokumententyp: Zeitschriftenartikel
• Keywords: seasonal adjustment, smoothing, spline, descriptive decomposition, Hodrick-Prescott Filter
• Fakultät: Volkswirtschaft ; Volkswirtschaft > Lehrstühle > Seminar für Theorie und Politik der Einkommensverteilung (aufgelöst)
• Themengebiete: 300 Sozialwissenschaften > 300 Sozialwissenschaft, Soziologie ; 300 Sozialwissenschaften > 330 Wirtschaft
• ISSN: 0162-1459