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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/10010
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| Title: | An application of tramo-seats: changes in seasonality and current trend-cycle assesment: the german retail trade turnover series |
| Author(s): | Kaiser, Regina
Maravall, Agustín |
| Publisher: | Universidad Carlos III de Madrid. Departamento de Estadística |
| Issued date: | 2000 |
| URI: | http://hdl.handle.net/10016/10010 |
| Abstract: | The paper details an application of programs. TRAMO and SEATS to seasonal adjustment and trend-cycle estimation. The series considered is the German Retail Trade Turnover series, for which, when adjusting with XI2-ARIMA, the Bundesbank had identified two problems. One had to do with heteroscedasticity in the seasonal component, associated with very different moving patterns for some of the months. The other one was related to the stability of the trend-cycle at the end of the series. It is seen how, starting with the fully automatic procedure and adding some simple modifications, the ARIMA-model-based approach of TRAMO-SEATS deals properly with both problems and provides good results, that are stable and robust. |
| Serie / Nº.: | UC3M Working papers. Statistics and Econometrics
00-63 |
| Keywords: | Seasonal adjustment
Preadjustment stability
Automatic procedure |
| Appears in Collections: | DES - Working Papers. Statistics and Econometrics. WS
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