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An Evaluation of Singular Spectrum Analysis-Based Seasonal Adjustment

Leon, Costas (2018): An Evaluation of Singular Spectrum Analysis-Based Seasonal Adjustment.

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Abstract

In this paper, the Singular Spectrum Analysis (SSA) is presented and applied in the US air traffic emplacements for the period Jan. 1954 – Sept. 2011. I decompose the US air traffic emplacements in trend, cycle, seasonal and noise components. In turn, I apply several spectral criteria in order to evaluate the SSA as a seasonal adjustment filter. SSA detects, beyond trend, strong cycles and seasonal components and leaves as a residual a GARCH process. SSA performs quite well as a seasonal adjustment mechanism in the case of the GARCH process but it performs even better in the case of a simulated white noise process. SSA is a serious candidate in economics in dealing with filtering, denoising, smoothing and seasonal adjustment.

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  • An Evaluation of Singular Spectrum Analysis-Based Seasonal Adjustment. (deposited 17 Feb 2018 14:35) [Currently Displayed]
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