Zusammenfassung
In der vorliegenden Arbeit wird untersucht, ob die auf einem ARIMA-Modell basierenden Ansätze der Saisonbereinigung in der praktischen Anwendung zu verläßlicheren Ergebnissen führen als empirische Verfahren, wie etwa CENSUS X-11. Um diese Frage zu klären, wird eine Saisonbereinigung von österreichischen Arbeitsmarktdaten mit beiden Gruppen von Verfahren durchgeführt. Es werden dafür bewußt Zeitreihen gewählt, die eine stark unterschiedliche Stabilität der Saisonfigur aufweisen. Bei diesem Vergleich zeigt sich, daß auf einem Modell basierende Ansätze bei Zeitreihen mit relativ stabiler Saisonfigur zu eindeutig besseren Ergebnissen führen als empirische Verfahren. Diese Überlegenheit kann jedoch verlorengehen, wenn das als Ausgangspunkt dienende ARIMA-Modell schlecht spezifiziert ist. Für Zeitreihen mit stark schwankender Saisonfigur führen beide Gruppen von Saisonbereinigungsverfahren zu ähnlichen Ergebnissen.
Seasonally adjusted data play a prominent role in assessing the current state of economic activity, but many users of seasonally adjusted data do not understand the methods by which those data are produced. It is probably unreasonable to expect a statistically unsophisticated person to understand the methods, but even trained statisticians are often mystified by these procedures. For example, CENSUS X-11, the most widely used method, applies moving averages in order to obtain seasonally adjusted figures. The basic idea behind moving averages is rather simple; they will smooth irregular fluctuations in the data. But the way in which they are used in X-11 (seeShiskin — Young — Musgrave, 1967) is extremely complex. Above all, the theoretical statistical underpinnings for this procedure are not understood at all. The only justification for its use is the fact that, in the majority of cases, X-11 produces relatively satisfactory results.
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Financial support by the Jubiläumsfonds der Oestèrreichischen Nationalbank under grant No. 2203 is acknowledged. I would like to thank Peter Burman, Johannes Ledolter, Fritz Schebeck and Erich Streißler for their helpful comments.
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Thury, G. Seasonal adjustment by signal extraction. Empirica 12, 191–207 (1985). https://doi.org/10.1007/BF00924927
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DOI: https://doi.org/10.1007/BF00924927