An Application of TRAMO-SEATS: changes in Seasonality and Current Trend-Cycle Assessment. The German Retail Trade Turnover Series

• Autores: Agustín Maravall, Regina Kaiser Remiro
• Localización: Documentos de trabajo - Banco de España, ISSN 0213-2710, Nº 11, 2000, págs. 1-37
• Idioma: inglés
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• Resumen

  • The paper details an application of programs Tramo and Seats to seasonal adjustment and trend-cycle estimation. The series considered is the German Retail Trade Turnover series, for which, when adjusting with X12-Arima, the Bundesbank had identied two problems. One had to do with heteroscedasticity in the seasonal component, associated with very di erent moving patterns for some of the months. The other one was related to the stability of the trend-cycle at the end of the series. It is seen how, starting with the fully automatic procedure and adding some simple modications, the ARIMA-model-based approach of Tramo-Seats deals properly with both problems and provides good results, that are stable and robust