Time Series Analysis by Modified Least-Squares Techniques
作者:
RichardM. Duvall,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1966)
卷期:
Volume 61,
issue 313
页码: 152-165
ISSN:0162-1459
年代: 1966
DOI:10.1080/01621459.1966.10502015
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
This paper presents a procedure for estimating the components in an economic time series assuming a constant seasonal component and a trend which may be estimated locally by a polynomial. The procedure is to estimate the trend and seasonal components for each consecutive two-year time span of quarterly data using conventional least-square techniques. Thus, for each quarter in the series, except the first seven and last seven, there are eight estimates for each of these components. A weighted average of these estimates is obtained using weights such that the variance of the average is a minimum. This procedure is used to adjust male unemployment in the United States for seasonal variation, and the results compare favorably with the official adjustment of the Bureau of Labor Statistics.
点击下载:
PDF (698KB)
返 回