Title:

Seasonality testing for macroeconomic time series – comparison of X-12-ARIMA and TRAMO/SEATS procedures

Group publication title:

Śląski Przegląd Statystyczny = Silesian Statistical Review

Title in english:

Silesian Statistical Reviev

Creator:

Barska, Magdalena

Subject and Keywords:

seasonality ; X-12-ARIMA ; TRAMO/SEATS ; sezonowość

Description:

Śląski Przegląd Statystyczny = Silesian Statistical Review, 2014, Nr 12 (18), s. 121-139

Abstrakt:

Economic time series can be impacted by seasonal factors. If present but not identified, seasonality may lead to incorrect conclusions derived from the analysis. Seasonality is not always easily identifiable as time series are shaped by other factors as well, such as one-off events or natural disasters. There is a variety of methods to deal with seasonality in data. An attempt was made to compare the outcome of two popular methods: X-12-ARIMA and TRAMO/SEATS. They were applied to analyse seasonality for the business climate index in the construction industry in Poland. Both procedures were used to produce a seasonally adjusted series for the business climate index. Comparison of model’s diagnostics proved that TRAMO/SEATS performed slightly better for the analysed series within a chosen time range, which is consistent with some more general results found in the literature

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2014

Resource Type:

artykuł

Format:

application/pdf

Resource Identifier:

doi:10.15611/sps.2014.12.07

Language:

eng

Relation:

Śląski Przegląd Statystyczny = Silesian Statistical Review, 2014, Nr 12 (18)

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu