Season. A Mathematica Package for Seasonal Adjustment

Ekkehart Schlicht

Discussion Papers in Economics from University of Munich, Department of Economics

Abstract: This Zip-Archive provides a Mathematica package and documentation for the seasonal adjustment method proposed by Schlicht and Pauly (1983) and Schlicht (1984) covering Mathematica versions 6 and up. The method makes use of non-parametric splines. It decomposes a time series into a trend, a seasonal component, and an irregular component. The method combines the trend filter proposed by Leser (1961) (also known as the HP-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) and estimates the smoothing parameters by a maximum-likelihood method.

Keywords: Seasonal adjustment; flexible seasonal adjustment; splines; non-parametric splines; state-space; HP filter; Mathematica; penalized öleast squares (search for similar items in EconPapers)
JEL-codes: C01 C14 C22 (search for similar items in EconPapers)
Date: 2020-11
New Economics Papers: this item is included in nep-ets and nep-ore
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Downloads: (external link)
https://epub.ub.uni-muenchen.de/74306/1/Season.zip (application/zip)

Related works:
Software Item: Season. A Mathematica Package for Seasonal Adjustment (2020)
Software Item: Season. Mathematica Packages for Seasonal Adjustment (2017)
Working Paper: Season. Mathematica Packages for Seasonal Adjustment (2017)
Software Item: Season. A Mathematica Package for Seasonal Adjustment (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:lmu:muenec:74306

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