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Resource Library
Time Series and Seasonal Adjustment Working Papers
Time Series and Seasonal Adjustment Working Papers
The following papers of interest to researchers and seasonal adjustment experts are available for downloading.
Working Paper
A Modified Model-based Seasonal Adjustment that Reduces Spectral Tr...
A Modified Model-based Seasonal Adjustment that Reduces Spectral Troughs and Negative Seasonal Correlation
Working Paper
Seasonal Heteroskedasticity in Time Series Data: Modeling, Estimati...
Seasonal Heteroskedasticity in Time Series Data: Modeling, Estimation, and Testing
Working Paper
On the discretization of continuous-time filters for nonstationary ...
On the discretization of continuous-time filters for nonstationary stock and flow time series
Working Paper
A Review of Some Modern Approaches to the Problem of Trend Extraction
A Review of Some Modern Approaches to the Problem of Trend Extraction
Working Paper
A Nonlinear Algorithm for Seasonal Adjustment in Multiplicative Com...
A Nonlinear Algorithm for Seasonal Adjustment in Multiplicative Component Decompositions
Working Paper
Benchmarking, Temporal Distribution, and Reconciliation Methods
The monograph surveys a broad literature and it provides a largely unifying perspective based on the very general and versatile Cholette-Dagum regression model.
Working Paper
Matrix Formulas for Nonstationary ARIMA Signal Extraction
The paper provides formulas for minimum MSE signal extraction, for a sampled time series whose signal and noise components are nonstationary ARIMA processes.
Working Paper
Spectral Approach for Assessing Time Series Model Misspecification
We consider band-limited frequency domain goodness-of-fit testing for stationary time series, without smoothing or tapering the periodogram.
Page Last Revised - November 22, 2021
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