Abstract
Raj K. Jain (1992) "A State Space Model-Based Approach
to Intervention Analysis in the Seasonal Adjustment of BLS Series: Some
Empirical Results."
The Intervention and Explanatory variables are
incorporated in the statistical models of seasonal adjustment of BLS series.
The State-Space/Kalman Filter methodology is used to estimate these models.
EM algorithm and a quasi-Newton algorithm are employed to estimate the
hyper-parameters of those models. Two BLS series are seasonally adjusted
using these models and the empirical results relating to the effects of
intervention analysis and explanatory variables on seasonal adjustment
presented.
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