Economics, Econometrics and Finance
4 years ago

New model revolutionizes seasonal adjustments for economic time series data!

CARF F-Series
Seasonality and Seasonal Switching Time Series Models
Naoto Kunitomo, Makoto Takaoka

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The article discusses problems with a common method for adjusting seasonal data and suggests using a new model called SSARMA to handle seasonality in economic time series. The researchers found that the current method might be fitting the data well due to a misleading factor called spurious seasonal unit roots. Their analysis of economic data showed promising results for the new SSARMA model.