Thornton, Michael Alan orcid.org/0000-0002-4470-809X (2013) Removing seasonality under a changing regime:Filtering new car sales. Computational Statistics & Data Analysis. 4. pp. 4-14. ISSN 0167-9473
Abstract
The use of filters for the seasonal adjustment of data generated by the UK new car market is considered. UK new car registrations display very strong seasonality brought about by the system of identifiers in the UK registration plate, which has mutated in response to an increase in the frequency with which the identifier changes, while it also displays low frequency volatility that reflects UK macroeconomic conditions. Given the periodogram of the data, it is argued that an effective seasonal adjustment can be performed using a Butterworth lowpass filter. The results of this are compared with those based on adjustment using X-12 ARIMA and model-based methods.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Keywords: | Seasonal adjustment; Signal extraction; Frequency response; Butterworth lowpass filter |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York) |
Depositing User: | Pure (York) |
Date Deposited: | 07 Jun 2012 17:03 |
Last Modified: | 21 Oct 2024 23:46 |
Published Version: | https://doi.org/10.1016/j.csda.2011.06.021 |
Status: | Published |
Refereed: | Yes |
Identification Number: | 10.1016/j.csda.2011.06.021 |
Related URLs: | |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:64524 |