JOURNAL BROWSE
Search
Advanced SearchSearch Tips
A Study for Shapes of Filter on the Prior Adjustment of the Holiday Effect
facebook(new window)  Pirnt(new window) E-mail(new window) Excel Download
 Title & Authors
A Study for Shapes of Filter on the Prior Adjustment of the Holiday Effect
Kim, Kee-Whan; Shin, Hyun-Gyu;
  PDF(new window)
 Abstract
In this study, we introduce filters that used for the prior adjustment of the holiday effect in seasonal adjustment. And we propose new filters having more various and flexible patterns than conventional ones. Under the practical assumption that patterns of effects before and after the holiday are different, we compare adjustment effect of the proposed filters and the existing ones. In comparison study, we estimate the effect from all possible combinations of shapes of filter by RegARIMA. And then, to adjust holiday effect, we apply the estimated results to time series data of industrial production and shipment index data in South Korea.
 Keywords
Seasonal adjustment;prior adjustment;RegARIMA;holiday effect;
 Language
Korean
 Cited by
 References
1.
문권순 (2005). RegARIMA모형을 이용한 명절효과의 검정에 관한 연구, <통계연구>, 2, 119-145.

2.
윤석우 (2003). 경제시계열의 계절조정을 위한 명절효과 사전조정에 관한 연구, <학위논문>.

3.
전백근 (2001). 산업생산통계의 계절변동 조정방법에 관한 연구, <학위논문>.

4.
통계청 (2006). <계절조정방법 이론과 X-12-ARIMA 사용 방법>, 통계청.

5.
Bell, W. R. and Hillmer, S. C. (1983). Modeling time series with calendar variation, Journal of the American Statistical Association, 78, 525-534.

6.
Dagum, E. B. (1988). The X-11-ARIMA/88 Seasonal Adjustment Method-Foundations and Useris Manual, Statistics Canada.

7.
Findley, D. F. and Soukup, R. J. (2000). Modelling and model selection for moving holidays, Proceedings of the Business and Economic Statistics Section of the American Statistical Association, Alexandria: American Statistical Association Alexandria, 102-107.

8.
Findley, D., Wills, K. and Monsell, B. C. (2005). Issues in estimating Easter regressors using RegARIMA models with X-12-ARIMA, Proceedings of the American Statistical Association.

9.
Lin, L. and Liu, S. (2002). Modeling lunar calendar effects in Taiwan, Taiwan Economic Forcast and Policy, 33 1-37.

10.
U. S. Census Bureau (2007). X-12-ARIMA Reference Manual, Version 0.3, Washington, DC.