Detection and Correction of the pre-Easter and Easter Effect

被引：0

作者：

Arteche, Josu ^{[1
]}

Majovska, Renata ^{[2
]}

Mariel, Petr ^{[1
]}

Orbe, Susan ^{[1
]}

机构：

[1] Univ Bask Country, Euskal Herriko Unibertsitatea, Dept Appl Econ Econometr & Stat 3, E-48015 Bilbao, Spain

[2] Tech Univ Ostrava, Ekon Fak, Ostrava 70121, Czech Republic

来源：

EKONOMICKY CASOPIS | 2011年 / 59卷 / 05期

关键词：

calendar effect; Easter effect; TRAMO; time series; recursive estimation; information criteria;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study compares eight different alternatives of detection and correction of Easter and pre-Easter effect. These are two calendar effects, which are usually subtracted from the time series analyzed before its decomposition into trend/cycle, seasonality and irregular part. The proposed alternatives differ by the duration of these effects and are compared using regression coefficients, information criteria and recursive estimation. In the empirical application are used data of Index of industrial production of Czech Republic, Poland and Slovak Republic and three north-Spanish provinces. The conclusions, which can be drawn from the study and which are based on very different data, are that the Easter effect should be always detected and corrected separately and not together with another calendar effect.

引用

页码：472 / 487

页数：16