Direkte Schätzung der Trend-Konjunktur-Komponente versus Saisonbereinigung am aktuellen Zeitreihenrand / Direct Approximation of the Trend-Cyclical-Component versus Seasonal Adjustment at the Current End of a Time Series

Goldrian Georg ()
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Goldrian Georg: ifo Institut für Wirtschaftsforschung, Poschingerstraße 5, D-81631 München. Telefon 089/9224-1222, Fax 089/9224-2222

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2001, vol. 221, issue 2, 129-144

Abstract: This paper compares the efficiency of two methods explaining the cyclical movement of a time series at its current end. It refers to a newly developed low-pass filter and the seasonal adjustment method, represented by ASA-II. The empirical analysis starts with a visual comparison of the results of the alternative methdos applied to five select time series. These examples point to a superior informative value of the directly estimated cyclical development. Subsequent attempts to underpin these results using stochastic simulations support the conclusion that the new filter is an interesting alternative to conventional seasonal adjustment methods, especially for short time series.

Keywords: Low-pass filter; seasonal adjustment; time series analysis; Tiefpassfilter; Saisonbereinigung; Zeitreihenanalyse; Low-pass filter; seasonal adjustment; time series analysis (search for similar items in EconPapers)
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:221:y:2001:i:2:p:129-144

DOI: 10.1515/jbnst-2001-0202

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