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Title Downloads

Season
Author

Schlicht Ekkehart
Organization: University of Munich, Germany
Department: Department of Economics
Revision date

2006-07-18
Description

A program for seasonal adjustment of time series, implementing Schlicht's (1984) seasonal adjustment method. It decomposes a time series into a trend, a seasonal component, and an irregular component, combining the trend filter proposed by Leser (1961) (also known as the Hodrick-Prescott 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).
Subjects

*Business and Economics
*Mathematics > Probability and Statistics
Keywords

seasonal adjustment, smoothing, state-space
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Download
Season.m (5.7 KB) - Mathematica Package
Download
Season.nb (221.7 KB) - Mathematica Notebook [for Mathematica 5.1]