Transformations and seasonal adjustment

Journal of Time Series Analysis

Volumn 30, Issue 1, 2009, Pages 47-69

  Proietti, Tommaso ^a,c   Riani, Marco ^b  

^a UNIVERSITY OF ROME TOR VERGATA   (Italy)

^b UNIVERSITY OF PARMA   (Italy)

^c Dipartimento SEF e MEQ   (Italy)

Author keywords

Box Cox transformation; Forward search; Numerical integration; Simulation smoother; Structural time series models

Indexed keywords

EID: 58149131696     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2008.00600.x     Document Type: Article

References (35)

1. Atkinson, A. C. (1985) Plots, Transformations and Regression: An Introduction to Graphical Methods of Diagnostic Regression Analysis. New York : Oxford University Press.
2. Atkinson, A. C. Riani, M. (2000) Robust Diagnostic Regression Analysis. New York : Springer Verlag.
3. Atkinson, A. C. Riani, M. (2002) Tests in the fan plot for robust, diagnostic transformations in regression, Chemometrics and Intelligent Laboratory Systems 60, 87 100.
4. Bell, W. R. Hillmer, S. C. (1984) Issues involved with the seasonal adjustment of economic time series. Journal of Business and Economic Statistics 2, 291 320.
5. Box G. E. P. Cox, D. R. (1964) An analysis of transformations (with discussion). Journal of the Royal Statistical Society B 26, 211 46.
6. Box G. E. P. Jenkins, G. M. (1973) Some comments on a paper by Chatfield and Prothero and on a review by Kendall. Journal of the Royal Statistical Society A 136, 337 52.
7. Carroll, R. J. Ruppert, D. (1991) Prediction and tolerance intervals with transformation and/or weighting. Technometrics 33, 197 210.
8. Chatfield, C. Prothero, D. L. (1973) Box-Jenkins seasonal forecasting: problems in a case-study. Journal of the Royal Statistical Society A 136, 295 315.
9. Cleveland, W. S., Dunn, D. M. Terpenning, I. J. (1978) SABL - a resistant seasonal adjustment procedure with graphical methods for interpretation and diagnosis. In Seasonal Analysis of Economic Time Series (ed. A. Zellner). Washington, D.C. : U.S. Department of Commerce, Bureau of the Census, pp. 201 31.
10. Cook, R. D. Weisberg, S. (1999) Applied Regression Including Computing and Graphics. New York : Wiley.
11. Doornik, J. A. (2001) Ox 3.0 - An Object-Oriented Matrix Programming Language. London : Timberlake Consultants Ltd.
12. Durbin, J. Koopman, S. J. (2001). Time Series Analysis by State Space Methods. Oxford : Oxford University Press.
13. Durbin, J. Koopman, S. J. (2002) A simple and efficient simulation smoother for state space time series analysis. Biometrika 89, 603 15.
14. Findley, D. F., Monsell, B. C., Bell, W. R., Otto, M. C. Chen, B. C. (1998) New capabilities and methods of the X-12-ARIMA seasonal adjustment program (with Discussion). Journal of Business and Economic Statistics 16, 127 77.
15. Gómez, V. Maravall, A. (1997) Programs TRAMO and SEATS: Instructions for the User (Beta Version: June 1997), Working Paper 97001. Madrid : Ministerio de Economia y Hacienda, Direccion General de Analisis y Programacion Presupuestaria.
16. Granger, C. W. J. Newbold, P. (1976) Forecasting transformed time series. Journal of the Royal Statistical Society B 38, 189 203.
17. Guerrero, V. M. (1993) Time-series analysis supported by power transformations. Journal of Forecasting 12, 37 48.
18. Harvey, A. C. (1989) Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge : Cambridge University Press.
19. Harvey, A. C. Proietti, T. (2005) Readings in Unobserved Components Models, Advanced Texts in Econometrics. Cambridge : Oxford University Press.
20. John J. A. Draper N. R. (1980) An alternative family of transformations. Applied Statistics 29, 190 7.
21. de Jong, P. Shephard, N. G. (1995) The simulation smoother for time series models. Biometrika 82, 339 50.
22. Koopman, S. J., Shephard, N. Doornik, J. A. (1999) Statistical algorithms for models in state space using SsfPack 2.2. Econometrics Journal 2, 113 66.
23. Maravall, A. (1985) On structural time series models and the characterization of components. Journal of Business & Economic Statistics 3, 350 55.
24. Neyman, J. N. Scott, E. L. (1960) Correction for bias introduced by a transformation of variables. The Annals of Mathematical Statistics 31, 643 55.
25. Pankratz, A. Dudley, U. (1987) Forecasts of power-transformed series. Journal of Forecasting 6, 239 48.
26. Piessens, R., de Doncker-Kapenga, E., Uberhuber, C. Kahaner, D. (1983) QUADPACK: A Subroutine Package for Automatic Integration. Berlin : Springer.
27. Press, W. H., Flannery, B. P., Teukolsky, S. A. Vetterling, W. T. (1992) Numerical Recipes in C: The Art of Scientific Computing. Cambridge : Cambridge University Press.
28. Proietti, T. (2000) Comparing seasonal components for structural time series models. International Journal of Forecasting 16, 247 60.
29. Proietti, T. Riani, M. (2007) Transformations and seasonal adjustment: analytic solutions and case studies. London: Department of Statistics, School of Economics. Research report no. 143.
30. Riani, M. (1998) Weights and robustness of model based seasonal adjustment. Journal of Forecasting 17, 19 34.
31. Riani, M. (2004) Extensions of the forward search to time series. Studies in Non Linear Dynamics and Econometrics 8, 1 23.
32. Taylor, J. M. G. (1986) The retransformed mean after a fitted power transformation. Journal of the American Statistical Association 81, 114 8.
33. Thomson, P. Ozaki, T. (2002) Transformation and trend-seasonal decomposition, Invited paper. Proc. 3rd Int. Symp. Frontiers of Time Series Modeling. Tokyo, Japan, 197 212.
34. Tukey, J. W. (1957) On the comparative anatomy of transformations. Annals of Mathematical Statistics 28, 602 32.
35. Yeo, I. K. Johnson, R. A. (2000) A new family of power transformation to improve normality or symmetry, Biometrika 87, 954 9.