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(T 3) 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.
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Pauly, R., Schell, A. Calendar effects in structural time series models with trend and season. Empirical Economics 14, 241–256 (1989). https://doi.org/10.1007/BF01972393
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DOI: https://doi.org/10.1007/BF01972393