• Medientyp: Bericht; E-Book
  • Titel: A new mixed multiplicative-additive model for seasonal adjusment
  • Beteiligte: Arz, Stephanus [Verfasser:in]
  • Erschienen: Frankfurt a. M.: Deutsche Bundesbank, 2006
  • Sprache: Englisch
  • Schlagwörter: Seasonal adjustment ; calendar adjustment ; X-12-ARIMA ; C22 ; Zeitreihenanalyse ; multiplicative-additive model ; Theorie ; over-adjustment ; Saisonbereinigung ; ARMA-Modell
  • Entstehung:
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  • Beschreibung: Usually, seasonal adjustment is based on time series models which decompose an unadjusted series into the sum or the product of four unobservable components (trendcycle, seasonal, working-day and irregular components). In the case of clearly weatherdependent output in the west German construction industry, traditional considerations lead to an additive model. However, this results in an over-adjustment of calendar effects. An alternative is a multiplicative-additive mixed model, the estimation of which is illustrated using X-12-ARIMA. Finally, the relevance of the new model is shown by analysing selected time series for different countries.
  • Zugangsstatus: Freier Zugang