Optimal Seasonal Filtering
نویسنده
چکیده
In this paper, I compare model-based and moving average-based approaches to seasonal adjustment. I propose an optimal moving average filter, designed to minimize the distance from a model-based filter. In simulations, I consider the accuracy of the alternative methods in estimating seasonal factors in a simple model. I find that the most reliable results are obtained either by the model-based approach, or by the optimal moving average filter. I apply the proposed methods to seasonal adjustment of employment data.
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