Detection and Correction of the pre-Easter and Easter Effect Cover Image

Detekce a korekce předvelikonočního a velikonočního efektu
Detection and Correction of the pre-Easter and Easter Effect

Author(s): Susan Orge, Petr Mariel, Josu Arteche, Renata Majovska
Subject(s): Economy
Published by: Ekonomický ústav SAV a Prognostický ústav SAV
Keywords: calendar effect; Easter effect; TRAMO; time series; recursive estimation; information criteria

Summary/Abstract: 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, infor-mation 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 to-gether with another calendar effect.

  • Issue Year: 59/2011
  • Issue No: 05
  • Page Range: 472-487
  • Page Count: 16
  • Language: Czech