Time series: theory and methods
Time series: theory and methods
The econometric analysis of seasonal time series
The econometric analysis of seasonal time series
Signal extraction and filtering by linear semiparametric methods
Computational Statistics & Data Analysis
An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment
Computational Statistics & Data Analysis
Econometric methods of signal extraction
Computational Statistics & Data Analysis
Exact maximum likelihood estimation for non-stationary periodic time series models
Computational Statistics & Data Analysis
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The use of filters for the seasonal adjustment of data generated by the UK new car market is considered. UK new car registrations display very strong seasonality brought about by the system of identifiers in the UK registration plate, which has mutated in response to an increase in the frequency with which the identifier changes, while it also displays low frequency volatility that reflects UK macroeconomic conditions. Given the periodogram of the data, it is argued that an effective seasonal adjustment can be performed using a Butterworth lowpass filter. The results of this are compared with those based on adjustment using X-12 ARIMA and model-based methods.