Seasonal Adjustment Using Structural Time Series Models: An Application and a Comparison With the Census X-11 Method |
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| Authors: | F. A. G. den Butter T. J. Mourik |
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| Affiliation: | 1. Faculty of Economics and Econometrics , Free University , 1007 MC Amsterdam, Netherlands;2. Econometric Research and Special Studies Department , De Nederlandsche Bank NV , 1000 AB Amsterdam, Netherlands |
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| Abstract: | This article makes the method of seasonal adjustment operational using suitable structural time series models (STM). This so-called STM method is applied to several relevant Dutch macro- economic quarterly and monthly time series. The results are compared with those of the Census X-11 method using several formal criteria as yardsticks. The STM method proves to compete well with the Census X-11 method in this respect. |
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| Keywords: | Kalman filter Model decomposition |
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