Season. A Mathematica Package for Seasonal Adjustment

Ekkehart Schlicht

Software 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.

Language: mathematica
Keywords: Seasonal adjustment; flexible seasonal adjustment; splines; non-parametric splines; state-space; HP filter; Mathematica; penalized öleast squares (search for similar items in EconPapers)
Date: 2020-11
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Downloads: (external link)
https://epub.ub.uni-muenchen.de/74306/1/Season.zip

Related works:
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)
Software Item: Season. A Mathematica Package for Seasonal Adjustment (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:lmu:muenso:74306

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