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Season
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| Organization: | University of Munich, Germany |
| Department: | Department of Economics |
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2006-07-18
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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).
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seasonal adjustment, smoothing, state-space
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| Season.m (5.7 KB) - Mathematica Package | | Season.nb (221.7 KB) - Mathematica Notebook [for Mathematica 5.1] |
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