Empirical Economics

, Volume 14, Issue 3, pp 241–256

Calendar effects in structural time series models with trend and season

  • R. Pauly
  • A. Schell
Article

DOI: 10.1007/BF01972393

Cite this article as:
Pauly, R. & Schell, A. Empirical Economics (1989) 14: 241. doi:10.1007/BF01972393
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Abstract

Calendar effects are analysed in the class of structural time series models one of the two main model based approaches in time series decomposition. While Bell and Hillmer (1983) modeled calendar variation in the ARIMA model based approach, we represent structural models in the generalized regression form which allows to apply classical estimation and test procedures. It turns out that the expected high computaional complexity 0(T3) in the generalized regression model can be reduced to 0(T). As all parameters are estimated by maximizing the likelihood the Likelihood Ratio statistics can be used to test effects of the calendar composition.

Key words

Testing Calendar EffectsStructural ModelsGeneralized Regression ModelKalman FilterMinimum Mean Square Estimator

Copyright information

© Physica-Verlag 1989

Authors and Affiliations

  • R. Pauly
    • 1
  • A. Schell
    • 1
  1. 1.Fachbereich WirtschaftswissenschaftenUniversität OsnabrückOsnabrück