An Evaluation of Singular Spectrum Analysis-Based Seasonal Adjustment

Costas Leon

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper, the Singular Spectrum Analysis (SSA) is presented and applied in the US air traffic emplacements for the period Jan. 1954 – Sept. 2011. I decompose the US air traffic emplacements in trend, cycle, seasonal and noise components. In turn, I apply several spectral criteria in order to evaluate the SSA as a seasonal adjustment filter. SSA detects, beyond trend, strong cycles and seasonal components and leaves as a residual a GARCH process. SSA performs quite well as a seasonal adjustment mechanism in the case of the GARCH process but it performs even better in the case of a simulated white noise process. SSA is a serious candidate in economics in dealing with filtering, denoising, smoothing and seasonal adjustment.

Keywords: Singular Spectrum Analysis; Seasonal Adjustment; Spectral Analysis; Economic Time Series; Air Traffic Emplacements. (search for similar items in EconPapers)
JEL-codes: C10 C50 E3 E37 (search for similar items in EconPapers)
Date: 2018-02-15
New Economics Papers: this item is included in nep-ets and nep-mac
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