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2006-01-20Buch DOI: 10.18452/3712
On model based seasonal adjustment procedures
Breitung, Jörg
In this note the unobserved component approach underlying the software package SEATS is compared with the Beveridge-Nelson type of decomposition for seasonal time series. The main strength of the SEATS approach lies in the appealing model formulation and the careful specification and adjustment of the input series. However, there are some theoretical problems with orthogonal decompositions which may be avoided by using the Beveridge-Nelson approach. The German unemployment series is studied to illustrate the properties of the alternative methods practically.
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DOI
10.18452/3712
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