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ARIMAmodelbased decomposition of time series in R
The tsdecomp R package
I have recently submitted a new package to CRAN. The tsdecomp package performs ARIMAmodelbased decomposition of time series data. It is intended mainly for annual, quarterly and monthly time series. Upon an ARIMA model fitted to the observed data, the … Continue reading
Signal extraction in time series, as simple as that?
Frequencydomain filters provide a straightforward way to decompose a time series. In this post I briefly introduce this approach advocated by Prof. D. Stephen G. Pollock in this document that introduces the software IDEOLOG. As pointed out by Prof. Pollock, … Continue reading
Posted in R, time series
Tagged Business cycle, Fourier analysis, seasonality, signalextraction
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Testing for seasonal stability
Canova and Hansen test statistic
Seasonal patterns are common in many time series data (e.g. macroeconomic or meteorological data). One of the issues to be analyzed when working with seasonal data is whether the seasonal pattern remains relatively stable over the sample period or whether … Continue reading
Does a seasonal ARIMA model involve seasonality?
The question posed in the title may seem a tautology, but it’s not. If an ARIMA model (chosen by any manual or automated procedure) contains lags of seasonal order, it does not necessarily mean that there is a relevant seasonal … Continue reading