Season. A Mathematica Package for Seasonal Adjustment

Ekkehart Schlicht

Software in Economics from University of Munich, Department of Economics

Abstract: The package implements Schlicht's (1984) seasonal adjustment method. 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 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) and estimates the smoothing parameters by a maximum-likelihood method. The package requires Mathematica 5. Available also at http://library.wolfram.com/infocenter/MathSource/6270/

Language: mathematica
Date: 2005
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Downloads: (external link)
https://epub.ub.uni-muenchen.de/712/1/Season.zip

Related works:
Software Item: Season. A Mathematica Package for Seasonal Adjustment (2020)
Working Paper: 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)
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Persistent link: https://EconPapers.repec.org/RePEc:lmu:muenso:712

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