A new mixed multiplicative-additive model for seasonal adjusment

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion Paper Series 1 ; No. 2006,47

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
• Subject: Seasonal adjustment ; calendar adjustment ; over-adjustment ; multiplicative-additive model ; X-12-ARIMA ; Saisonbereinigung ; ARMA-Modell ; Zeitreihenanalyse ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Arz, Stephanus
• Event: Veröffentlichung
• (who): Deutsche Bundesbank
• (where): Frankfurt a. M.
• (when): 2006

Further information

• Handle: http://hdl.handle.net/10419/19676
• Last update: 10.03.2025, 11:45 AM CET