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Seasonal Adjustment by Signal Extraction

J. P. Burman
Journal of the Royal Statistical Society. Series A (General)
Vol. 143, No. 3 (1980), pp. 321-337
Published by: Wiley for the Royal Statistical Society
DOI: 10.2307/2982132
Stable URL: http://www.jstor.org/stable/2982132
Page Count: 17
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Seasonal Adjustment by Signal Extraction
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Abstract

If an ARIMA model has been fitted to a time series, the model spectrum can be partitioned into trend, seasonal and irregular components. The corresponding linear filters are used for signal extraction to provide a theoretically based method of seasonal adjustment. The flexibility, stability and residual seasonality obtained by this method and two others are compared empirically.

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