ORCID: https://orcid.org/0000-0001-8227-5451
(November 2020):
Season. A Mathematica Package for Seasonal Adjustment.
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Abstract
This Zip-Archive provides a Mathematica package and documentation for the seasonal adjustment method proposed by Schlicht and Pauly (1983) and Schlicht (1984) covering Mathematica versions 6 and up. The method makes use of non-parametric splines. 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 HP-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.
Item Type: | Software |
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Keywords: | Seasonal adjustment; flexible seasonal adjustment; splines; non-parametric splines; state-space; HP filter; Mathematica; penalized öleast squares |
Faculties: | Economics Economics > Munich Discussion Papers in Economics Economics > Munich Discussion Papers in Economics > Statistical Methods Economics > Chairs > Chair of Institutional Economics (closed) |
Subjects: | 300 Social sciences > 300 Social sciences, sociology and anthropology 300 Social sciences > 330 Economics |
JEL Classification: | C01, C14, C22 |
URN: | urn:nbn:de:bvb:19-epub-74306-5 |
Language: | English |
Item ID: | 74306 |
Date Deposited: | 02. Dec 2020, 06:22 |
Last Modified: | 27. Apr 2021, 06:08 |
References: | Leser, C. E. V. (1961): 'A Simple Method of Trend Construction.' Journal of the Royal Statistical Society Series B (Methodological) Vol. 23, pp. 91-107. Ludsteck, Johannes (2005) HPFilter, Mathematica package, Wolfram Library Archive Mathsource. Schlicht, Ekkehart and Pauly, Ralf (1983): 'Descriptive Seasonal Adjustment by Minimizing Perturbations.' Empirica No. 1, pp. 15 - 28. Schlicht, Ekkehart (1984): 'Seasonal Adjustment in a Stochastic Model.' Statistische Hefte Vol. 25, pp. 1-12. Schlicht, Ekkehart (2005): 'Estimating the Smoothing Parameter in the So-called Hodrick-Prescott Filter', Journal of the Japan Statistical Society, 35(1), 2005, pp. 99-119. Schlicht, Ekkehart (2009): 'Trend Extraction from Time Series With Missing Observations and Structural Breaks, Journal of the Japan Statistical Society 2009, 38(2), 285-92. |
Available Versions of this Item
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Season. A Mathematica Package for Seasonal Adjustment. (deposited 20. Oct 2005)
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Season. Mathematica Packages for Seasonal Adjustment. (deposited 17. Feb 2017, 09:27)
- Season. A Mathematica Package for Seasonal Adjustment. (deposited 02. Dec 2020, 06:22) [Currently Displayed]
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Season. Mathematica Packages for Seasonal Adjustment. (deposited 17. Feb 2017, 09:27)