Seasonal Adjustment of Economic Data by Application of the General Linear Statistical Model

Abstract This article presents a technique of seasonal adjustment of economic time series within the framework of the general linear statistical model. The technique is designed to be flexible enough to be applicable to varying types of economic time series. The first goal of the technique is the development of a specification that allows adequate flexibility in the estimation of the trend-cycle component of a time series. The second goal is the development of a method of handling changing seasonality. The results of applying the technique to simulated time series are presented. These are compared with the results of applying the Census X-11 method.

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