A Study for Shapes of Filter on the Prior Adjustment of the Holiday Effect

명절효과 사전조정을 위한 파급유형에 관한 연구

  • Received : 20100300
  • Accepted : 20100300
  • Published : 2010.04.30


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.


Seasonal adjustment;prior adjustment;RegARIMA;holiday effect


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Supported by : 고려대학교