Les méthodes et logiciels de désaisonnalisation des séries économiques : une revue de la littérature
Journal de la société française de statistique (2004)
- Volume: 145, Issue: 4, page 79-102
- ISSN: 1962-5197
Access Full Article
topHow to cite
topDarné, Olivier. "Les méthodes et logiciels de désaisonnalisation des séries économiques : une revue de la littérature." Journal de la société française de statistique 145.4 (2004): 79-102. <http://eudml.org/doc/199739>.
@article{Darné2004,
author = {Darné, Olivier},
journal = {Journal de la société française de statistique},
language = {fre},
number = {4},
pages = {79-102},
publisher = {Société française de statistique},
title = {Les méthodes et logiciels de désaisonnalisation des séries économiques : une revue de la littérature},
url = {http://eudml.org/doc/199739},
volume = {145},
year = {2004},
}
TY - JOUR
AU - Darné, Olivier
TI - Les méthodes et logiciels de désaisonnalisation des séries économiques : une revue de la littérature
JO - Journal de la société française de statistique
PY - 2004
PB - Société française de statistique
VL - 145
IS - 4
SP - 79
EP - 102
LA - fre
UR - http://eudml.org/doc/199739
ER -
References
top- ABRAHAMS D.M. et DEMPSTER A.P. (1979), " Research on seasonal analysis", Research Project Final Report, Statistical Research Division, US Bureau of the Census, Washington DC.
- AKAIKE H. (1980), " Seasonal adjustment by a Bayesian modeling", Journal of Time Series Analysis, 1, 1-13. Zbl0495.62085MR605571
- AKAIKE H. et ISHIGURO M. (1980), " BAYSEA, a bayesian seasonal adjustment program", Computer Science Monographs No 13, The Institute of Statistical Mathematics, Tokyo. Zbl0495.62085
- ARMATTE M. (1992), " Conjonctions, conjoncture et conjecture. Les baromètres économiques (1885-1930)", Histoire et Mesure, 7 (1), 99-149.
- ARMATTE M. (2003), " Cycles and barometers : Historical insights into the relationship between an object and its measurement", dans Monographs of Official Statistics : Papers and Proceedings of the Colloquium on the History of Business-Cycle Analysis, Ladiray (ed.), Research in Officiai Statistics, Eurostat, Luxembourg.
- AUSTRALIAN BUREAU of STATISTICS (1987), " A guide to smoothing time series : Estimates of trend", Catalogue No 1316.0, Australian Bureau of Statistics, Canberra.
- AUSTRALIAN BUREAU of STATISTICS ( 1999a), " The new method for seasonally adjusting crop production data", Catalogue No 1350.0, Australian Bureau of Statistics, Canberra.
- AUSTRALIAN BUREAU of STATISTICS ( 1999b), " Introduction of concurrent seasonal adjustment into the retail trade series", Catalogue No 8514.0, Australian Bureau of Statistics, Canberra.
- BANQUE CENTRALE EUROPÉENNE (2000), " Seasonal adjustment of monetary aggregates and HICP for the euro area", Report No 08-00, Banque Centrale Européenne.
- BARON R.R.V. (1973), " Analysis of seasonality and trends in statistical series : Methodology, causes and effects of seasonality", Technical publication No 39, Israel Central Bureau of Statistics, Jerusalem.
- BELL W.R. (1984), " Signal extraction for nonstationary time series", Annals of Statistics, 12, 646-664. Zbl0542.62081MR740918
- BELL W.R. et HILLMER S.C. (1984), " Issues involved with the seasonal adjustment of economic time series", Journal of Business and Economic Statistics, 2 (4), 291-320.
- BELL W.R. et MONSELL B.C. (1992), " X-11 symmetric linear filters and their transfer fonctions", Research Report No RR-92-15, Statistical Research Division, US Bureau of the Census, Washington DC.
- BEVERIDGE S. et NELSON C.R. (1981), " A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle", Journal of Monetary Economics, 7, 151-174.
- BIANCHI M. (1996), " A comparison of methods for seasonal adjustment of the monetary aggregates", Working Paper Series No 44, Bank of England.
- BOX G.E.P., HILLMER S.C. et TIAO G.C. (1978), " Analysis and modeling of seasonal time series", dans Seasonal Analysis of Economic Time Series, Zellner (ed.), US Bureau of the Census, Washington DC.
- BOX G.E.P. et JENKINS G.M. (1970), Time Series Analysis : Forecasting and Control, Holden Day, San Francisco. Zbl0249.62009MR272138
- BREITUNG J. (1994), " A model based seasonal adjustment method using the Beveridge-Nelson decomposition", Allgemeines Statistisches Archiv, 78, 365-385.
- BREITUNG J. (1999), " On seasonal adjustment procedures based on ARIMA models", Working Paper, Institute of Statistics and Econometrics, Humboldt University, Berlin.
- BRUCE A.G. et JURKE S.R. (1993), " MING : Mixture based non-gaussian seasonal adjustment. Users's guide", Technical Report, StatSci Division of MathSoft, Seattle.
- BRUCE A.G. et JURKE S.R. (1996), " Non-Gaussian seasonal adjustment : X-12-ARIMA versus robust structural models", Journal of Forecasting, 15, 305-328.
- BUREAU of the CENSUS (2000), " X-12-ARIMA : Reference Manual (version 0.2.6)", Time Series Staff Statistical Research Division, US Bureau of the Census, Washington DC.
- BURMAN J.P. (1979), " Seasonal adjustment : A survey", dans TIMS Studies in the Management Sciences : Forecasting, Vol. 12, North-Holland, Amsterdam.
- BURMAN J.P. (1980), " Seasonal adjustment by signal extraction", Journal of the Royal Statistical Society, Series A, 143, 321-337. Zbl0461.62074MR590360
- BURMAN J.P. (1995), " PROPHET 2.0 : User instructions", Applied Statistics Research Unit, University of Kent.
- BURNS A.F. et MITCHELL W.C. (1946), Measuring Business Cycles, National Bureau of Economic Research, New York.
- BUYS BALLOT C.H.D. (1847), Les Changements Périodiques de Température, Kemink et Fils, Utrecht.
- CENTRAL BUREAU of STATISTICS (1976), " The seasonal adjustment of series concerning the labor market", Social Maandstatistiek, 24 (1), 4-12.
- CENTRAL BUREAU of STATISTICS (1981), " A new method of seasonal adjustment concerning the labor market", Social Maandstatistiek, 29 (3), 66-78.
- CLEVELAND R.B., CLEVELAND W.S., MCRAE J.E. et TERPENNING I.J. (1990), " STL : A seasonal-trend decomposition procedure based on loess", Journal of Official Statistics, 6 (1), 3-33. MR1049238
- CLEVELAND W.S., DEVLIN S.J. et TERPENNING I.J. (1982), " The SABL seasonal and calendar adjustment procedures", dans Time Series Analysis : Theory and Practice, Vol. 1, Anderson (ed.), North-Holland, Amsterdam. MR749780
- CLEVELAND W.S., DEVLIN S.J., SHAPIRA D.R. et TERPENNING I.J. (1981), The SABL Computer Package : Users' Manual, and The SABL Computer Package Specialized Usage, Computing Information Library, Bell Laboratories.
- CLEVELAND W.S., DUNN D.M. et TERPENNING I.J. (1978), " SABL : A resistant seasonal adjustment procedure with graphical methods for interpretation and diagnosis", dans Seasonal Analysis of Economic Time Series, Zellner (ed.), US Bureau of the Census, Washington DC.
- DAGUM E.B. (1975), " Seasonal factor forecasts from ARIMA models", Bulletin of the International Institute of Statistics, Proceedings of the 40th Session, Central Statistical Office, Warsaw.
- DAGUM E.B. (1978), " Comparison and assessment of seasonal adjustment methods for Labor Force series", Background Paper No 5, US National Commission on Employment and Unemployment Statistics, US Government Printing Office, Washington DC.
- DAGUM E.B. (1979), " Ajustement saisonnier et problèmes de séries temporelles", Economie Appliquée, 1, 23-47.
- DAGUM E.B. (1980), " La méthode de désaisonnalisation X-11-ARMMI", Time Series Research and Analysis Division No 12-564F, Statistique Canada, Ottawa.
- DAGUM E.B. (1986), " Seasonality", dans Encyclopedia of Statistical Sciences, Kotz and Johnson (eds.), Vol. 5, John Wiley and Sons, New York.
- DAGUM E.B. (1988), " The X11-ARIMA/88 seasonal adjustment method : Foundations and user's manual", Time Series Research and Analysis Division, Statistics Canada, Ottawa.
- DAGUM E.B. (2001), " Time series : Seasonal adjustment", dans International Encyclopedia of the Social and Behavioral Sciences, Feinberg and Kadane (eds.), North-Holland, Amsterdam.
- DAGUM E.B., CHHAB N. et CHIU K. (1996), " Derivation and properties of the Census X-11 variant and the X11ARIMA linear filters", Journal of Official Statistics, 12 (4), 329-347.
- DARNÉ O. (2003), " La désaisonnalisation des chroniques économiques : Analyse des conditions conjoncturelles", Thèse de Doctorat, Faculté des Sciences Economiques, Université de Montpellier I.
- DEN BUTTER F.A.G. et FASE M.M.G. (1991), Seasonal Adjustment as a Practical Problem, North-Holland, Amsterdam.
- DEPOUTOT R., DOSSÉ J., HOFFMANN S. et PLANAS C. (1998), " Advanced seasonal adjustment interface DEMETRA", Technical Report, Eurostat, Luxembourg.
- ENGLE R.F. (1978), " Estimating structural models of seasonality", dans Seasonal Analysis of Economic Time Séries, Zellner (ed.), US Bureau of the Census, Washington DC.
- EUROSTAT(1998), " Seasonal adjustment methods : A comparison for industry statistics", Working Paper No 10-98 (revised version), Eurostat, Luxembourg.
- EUROSTAT (2002), " DEMETRA : Version 2.0", Eurostat, Luxembourg.
- FALKNER H.D. (1924), " The measurement of seasonal variation", Journal of the American Statistical Association, 19, 167-179. JFM55.0928.06
- FASE M.M.G., KONING J. et VOLGENANT A.F. (1973), " An experimental look at seasonal adjustment : A comparative study of nine alternative adjustment methods", De Economist, 121, 441-480.
- FINDLEY D.F., MONSELL B.C., BELL W.R., OTTO M.C. et CHEN B.C. (1998), " New capabilities and methods of the X-12-ARIMA seasonal adjustment program", Journal of Business and Economie Statistics, 16, 127-152.
- FINDLEY D.F., MONSELL B.C., OTTO M.C., BELL W.R. et PUGH M.G. (1988), " Toward X-12-ARIMA", Proceeding of the Fourth Annual Research Conference, US Bureau of the Census, Washington DC.
- FISCHER B. (1995), " Decomposition of time series : Comparing different methods in theory and practice", Mimeo, Eurostat, Luxembourg.
- FISHER A. (1937), " A brief note on seasonal variation", Journal of Accountancy, 64, 54-59.
- GEWEKE J. (1978), " The temporal and structural aggregation of seasonally adjusted time series", dans Zellner (ed.) Seasonal Analysis of Economic Time Series, US Bureau of the Census, Washington.
- GÓMEZ V. et MARAVALL A. (1992), " Time series regression with ARIMA noise and missing observations : Program TRAM", Working Paper ECO No 92-81, Department of Economics, European University Institute.
- GÓMEZ V. et MARAVALL A. (1997), " Programs TRAMO and SEATS : Instructions for the user (beta version : June 1997)", Working Paper No 97001, Dirección General de Análisis y Programación Presupuestaria, Ministerio de Economía y Hacienda, Madrid.
- GOURIÉROUX G. et MONFORT A. (1995), Séries Temporelles et Modèles Dynamiques, Economica.
- HANNAN E.J. (1960), " The estimation of seasonal variation", Australian Journal of Statistics, 2, 1-15. Zbl0097.13502MR112233
- HANNAN E.J. (1964), " The estimation of a changing seasonal pattern", Journal of the American Statistical Association, 59, 1063-1077. Zbl0134.15602MR175221
- HANNAN E.J. (1967), " Measurement of a wandering signal amid noise", Journal of Applied Probability, 4, 90-102. Zbl0158.17403MR207070
- HANNAN E.J., TERRELL R.D. et TUCKWELL N. (1970), " The seasonal adjustment of economic time series", International Economic Review, 11, 24-52.
- HARVEY A.C. (1981), Time Series Models, Philip Allan Publishers Limited, Oxford. Zbl0464.62087MR633059
- HARVEY A.C. (1989), Forecasting, Structural Time Series Models and the Kalman Filter, Cambridge University Press, Cambridge. Zbl0725.62083
- HARVEY A.C. et TODD P.H.J. (1983), " Forecasting economic time series with structural and Box-Jenkins models : A case study", Journal of Business and Economie Statistics, 1, 299-306.
- HENDERSON R. (1916), " Note on graduation by adjusted average", Transactions of the Actuarial Society of America, 17, 43-48.
- HENSHAW R.C. (1966), " Application of the general linear model to seasonal adjustment of economic time series", Econometrica, 34, 381-395.
- HILLMER S.C. et TIAO G.C. (1982), " An ARIMA-model based approach to seasonal adjustment", Journal of the American Statistical Association, 77, 63-70. Zbl0483.62075MR648026
- HUBER P.J. (1964), " Robust estimation of a location parameter", Annals of Mathematical Statistics, 35, 73-101. Zbl0136.39805MR161415
- HYLLEBERG S. (1992), Modelling Seasonality, Oxford University Press, New York. Zbl0718.90021
- JEVONS W.S. (1862), " On the study of periodic commercial fluctuations", dans Investigations in Currency and Finance, Macmillan, London 1884.
- JORGENSON D.W. (1964), " Minimum variance, linear unbiased, seasonal adjustment of economic time series", Journal of the American Statistical Association, 59, 402-421. Zbl0127.36603MR166897
- JOY A. et THOMAS W. (1928), " The use of moving averages in the measurement of seasonal variations", Journal of the American Statistical Association, 23, 242-252.
- KAISER R. et MARAVALL A. (2000), Measuring Business Cycles in Economic Time Series, Lectures Notes in Statistics No 154, Springer, New York. Zbl0958.91059MR1839501
- KENNY P.B. et DURBIN J. (1982), " Local trend estimation and seasonal adjustment of economic and social time series", Journal of the Royal Statistical Society, Séries A, 145, 1-41.
- KING W.F. (1924), " An improved method for measuring the seasonal factor", Journal of the American Statistical Association, 19, 301-313.
- KITAGAWA G. (1994), " The two-filter formula for smoothing and an implementation of the Gaussian-sum smoother", Annals of the Institute of Statistical Mathematics, 46 (4), 605-623. Zbl0822.62080MR1325984
- KITAGAWA G. et GERSCH W. (1984), " A smoothness priors-state space approach to the modeling of time series with trend and seasonality", Journal of the American Statistical Association, 79, 378-389.
- KOLMOGOROV A.N. (1939), " Sur l'interpolation et extrapolation des suites stationnaires", Comptes Rendus de l'Académie des Sciences de Paris, 208, 2043-2045. Zbl0021.42204JFM65.0607.04
- KOOPMAN S.J., HARVEY A.C., DOORNIK J.A. et SHEPHARD N. (1995), STAMP 5.0 Structural Time Series Analyser, Modeller and Predictor, Chapman and Hall, London.
- KOOPMAN S.J., HARVEY A.C., DOORNIK J.A. et SHEPHARD N. (2000), STAMP 6.0 Structural Time Series Analyser, Modeller and Predictor, Timberlake Consultants Press, London.
- LADD G.W. (1964), " Regression analysis of seasonal data", Journal of the American Statistical Association, 59, 402-421. Zbl0123.37602MR165620
- LADIRAY D. et MUSEUX JM. (2002), " Quality report for seasonal adjustment : Some ideas", présenté au 5th Meeting on Informal Working Group on Seasonal Adjustment, Luxembourg.
- LADIRAY D. et QUENNEVILLE B. (1999), " Comprendre la méthode X11" , Document de Travail, CRAST, Statistique Canada, Ottawa.
- LADIRAY D. et QUENNEVILLE B. (2001), Seasonal Adjustment with the X-11 Method, Lecture Notes in Statistics No 158, Springer, New York. Zbl0961.62073
- LANE R.O.D. (1972), " Minimal-revisions trend estimates", Research Exercice Note 8-72, Central Statistical Office, London.
- LAROQUE G. (1977), " Analyse d'une méthode de désaisonnalisation : le programme X11 du US Bureau of Census, version trimestrielle", Annales de l'INSEE, 28, 105-127.
- LOVELL M.C. (1963), " Seasonal adjustment of economic time series and multiple regression analysis", Journal of the American Statistical Association, 58, 993-1010. Zbl0113.14302MR155414
- MACAULAY F.R. (1931), The Smooting of Time Series, National Bureau of Economic Research, New York. JFM57.0622.02
- MARAVALL A. et GÓMEZ V. (1992), " Signal extraction in ARIMA time series : Program SEATS", Working Paper ECO No 92-65, Department of Economics, European University Institute.
- MARAVALL A. et PIERCE D.A. (1987), " A prototypical seasonal adjustment model", Journal of Time Series Analysis, 8, 177-193. Zbl0608.62115
- MARAVALL A. et PLANAS C. (1996), " Estimation error and the specification of unobserved components in models", Working Paper No 9608, Servicio de Estudios, Banco de Espana.
- MELNICK E.L. et MOUSSOURAKIS J. (1974), " Filter design for the seasonal adjustment of a time series", Communications in Statistics, 3, 1171-1186. Zbl0294.62114
- MENDERSHAUSEN H. (1937), " Annual survey of statistical technique : Methods of Computing and eliminating changing seasonal fluctuations", Econometrica, 5, 234-262.
- MENDERSHAUSEN H. (1939), " Eliminating changing seasonals by multiple regression analysis", The Review of Economic Studies, 21, 171-177.
- MOORE G.H. (1961), Business Cycle Indicators, Princeton University Press, Princeton.
- MUSGRAVE J. (1964), " A set of end weights to end ail end weights", Working Paper, US Bureau of the Census, Washington DC.
- NATIONAL STATISTICS (1996), " Report of task force on seasonal adjustment", GSS Methodology Series No 2, Office for National Statistics, London.
- NERLOVE M., GRETHER D.M. et CARVALHO J.L. (1979), Analysis of Economic Time Series : A Synthesis, New York Academic Press, New York. Zbl0473.62077MR538798
- NOURNEY M. (1983), " Umstellung der Zeitreihenanalyse", Wirtschaft und Statistik, 11, 841-852.
- NOURNEY M. (1984), " Seasonal adjustment by frequency determined filter procedures", Statistical Journal of the United Nations ECE 2, North-Holland, 161-168.
- NULLAU B., HEILER S., WÄSCH P., MEISNER B. et FILIP D. (1969), " Das Berliner Verfahren : Ein Beitrag zur Zeitreihenanalyse", DIW-Beiträge zur Strukturforschung No 7, Berlin.
- PERSONS W.M. (1919), " Indices of general business conditions", Review of Economic Statistics, 1, 111-205.
- PIERCE D.A. (1980), " A survey of recent developments in seasonal adjustment", The American Statistician, 34, 125-134. MR581918
- ROSENBLATT H.M. (1963), Time Series Analysis, John Wiley and Sons, New York. Zbl0119.00505
- SHISKIN J. (1957), " Electronic computers and business indicators", Occasional Paper No 57, National Bureau of Economic Research, New York. Zbl0077.33802
- SHISKIN J. (1978), " Seasonal adjustment of sensitive indicators", dans Seasonal Analysis of Economic Time Series, Zellner (ed.), US Bureau of the Census, Washington DC.
- SHISKIN J., YOUNG A. et MUSGRAVE J.C. (1967), " The X11 variant of the Census method II seasonal adjustment program", Technical Paper No 15, US Bureau of the Census, Washington DC.
- SLUTSKY E. (1927), " The summation of random causes as the source of cyclical processes", Econometrica, 84, 105-146. JFM63.1131.03
- STATISTISCHES BUNDESAMT (1997), " Methodological outline of the BV4 decomposition method", Mimeo.
- STEPHENSON J.A. et FARR H.T. (1972), " Seasonal adjustment of economic data by application of the general linear statistical model", Journal of the American Statistical Association, 67, 37-45.
- SUTCLIFFE A. (1999), " Seasonal adjustment : Comparison of Philosophies", Working Paper in Econometrics and Applied Statistics No 99-2, Australian Bureau of Statistics, Canberra.
- VAN DER HOEVEN H. et HUNDEPOOL A.J. (1986), " A method for seasonally adjusting time series with variation in the seasonal amplitude", Journal of Business and Economic Statistics, 4 (4), 455-471.
- WALLIS K.F. (1978), " Seasonal adjustment and multiple time series analysis", dans Seasonal Analysis of Economic Time Series, Zellner (ed.), US Bureau of the Census, Washington DC.
- WIENER N. (1949), The Extrapolation, Interpolation and Smoothing of Stationary Time Series with Engineering Applications, New York : John Wiley. Zbl0036.09705MR31213
- WOLD H.O. (1938), A Study in the Analysis of Stationary Time Series, Almquist and Wicksell, Uppsala (seconde édition, 1954). Zbl0019.35602MR61344JFM64.1200.02
- YOUNG P.C. et BENNER S. (1991), " MicroCAPTAIN Handbook : Version 2.0", Technical Report, Lancaster University.
- YOUNG T. (1992), " Seasonal adjusting of flow of fund matrices", Internal Mimeo, Bank of England.
- YULE G.U. (1927), " On a method of investigating periodicities in disturbed series with special reference to Wolfer's sunspot numbers", Philosophical Transactions of the Royal, Series A, 226, 267-298. Zbl53.0509.02JFM53.0509.02
NotesEmbed ?
topTo embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.