An Application of TRAMO-SEATS: Changes in Seasonality and Current Trend-Cycle Assessment: the German Retail Trade Turnover Series

Regina Kaiser () and Agustin Maravall ()
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Regina Kaiser: Universidad Carlos III de Madrid

No 11, Working Papers from Banco de España

Abstract: The paper details an application of programs TRAMO and SEATS to seasonal adjustment and trend-cycle estimation. The series considered is the German Retail Trade Turnover series, for which, when adjusting with X12-ARIMA, the Bundesbank had identified two problems. One had to do with heteroscedasticity in the seasonal component, associated with very different moving patterns for some of the months. The other one was related to the stability of the trend-cycle at the end of the series. It is seen how, starting with the fully automatic procedure and adding some simple modifications, the ARIMA-model-based approach of TRAMO-SEATS deals properly with both problems and provides good results, that are stable and robust.

Keywords: trade; turnover; seasonal fluctuations (search for similar items in EconPapers)
JEL-codes: C50 E32 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:0011

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