Conference on Seasonality, Seasonal

Adjustment and Their Implications for

Short-term Analysis and Forecasting

EUROSTAT
Luxembourg, 2006

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 Real-Time Signalextraction : Efficient
Concurrent Level- and Turning-Point-Filters

Marc Wildi
wia@zhwin.ch

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 Introduction

Framework
Statistical problem

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Framework: revision of the KOF economic
barometer
 Important leading indicator for Swiss GDP
 New `KOF-Konjunkturbarometer´ released in April
2006
 Extended data set (KOF):
 Business survey data, consumer confidence,
indicators in finance and construction sectors
 New Filter (idp)
 New filter technique (DFA)
 Concurrent filter output published only
 No revisions

idp/KOF S.4 12.05.200

 Bisheriges KOF-Barometer

GDP and KOF-Konjunkturbarometer

Standardized Growthrates

3 3

2 2
GDP
1 1

0 0

-1 -1

-2 -2
KOF-Barometer
-3 -3
84 86 88 90 92 94 96 98 00 02 04

idp/KOF S.5 12.05.200

 Introduction

Statistical Problems

 Trend
 Eliminate (damp) `all´ high frequency components
 Concurrent (real time) filter
 Emphasizes the last observation
 Concurrent filter is causal (completely asymmetric)
 Statistical Problems
 1. Fast and reliable detection of Turning Points
 2. Minimization filter error variance (level-filter)
 Both requirements are incongruent

idp/KOF S.6 12.05.200

 Direkter Filteransatz

KOF-Konjunkturbarometer in real time

1.5

-1.5
2001 2002 2003

idp/KOF S.7 12.05.200

 Introduction

Expectations of `typical´ user in the context of

the above leading indicator
 Typical users of economic barometer:
 Want to see the `TREND´
 Don‘t want to see revisions
 Turning points must be detected fast and reliably
 Good level approximation
 Design the new Barometer for the needs of the
market

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 Part I
Real-Time Level Approximation
Criterion: Mean-Square Error

Model Based Approach (MBA)

Direct Filter Approach (DFA)
Empirical Comparisons
Analysis

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 Introduction

Methodological approaches
Real-time (concurrent) filters
 Model Based Approach, MBA (X-12, X-11 ARIMA
or TRAMO/SEATS)
 Identify a time series model for the DGP
 Forecast the future
 Apply the symmetric filter to the extended time
series
 Direct Filter Approach, DFA (Wildi,2004)
 Minimize an efficient estimate of the filter error
variance

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 Introduction

Criteria:

MBA: min  ( X t 1  Xˆ t 1 ) 2

DFA: min  | (k )  

( ) |2 I ( )
k NX k

 DFA:
 Concurrent DFA- filter is computed `directly´
(explicitly) wypiwyg
 Direct control of amplitude and time delay
 Key to TP-detection
 Target (symmetric filter) is known

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Problems MBA
 Target (DGP) is unknown
 Overfitting ↔ `overrestricted´ model classes
 Statistics based on one-step ahead forecasts
Estimation, Identification (AIC/BIC, unit-roots
tests,…), Diagnostics (Box-Pierce, Ljung-Box)
 Cannot detect Misspecification
 Conflict one vs. multi-step ahead forecasts
 Consequences
 Inefficient concurrent filters
 Unnecessarily large time delays
 TP cannot be accounted for explicitly

idp/KOF S.12 12.05.200

Empirical Results part 1

DEMETRA version 2.04

TRAMO/SEATS
X-12-ARIMA version 0.2.8
(amended by stationary model
alternatives)

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 Introduction

TRAMO: heavy misspecification (120 Obs.)

•Business survey data: bounded time series

Series nmb. Models d Series nmb. Models d
1 (210)(011) 2 19 (100)(011) 1
2 (011)(011) 2 20 (011)(011) 2
3 (011)(011) 2 21 (011)(011) 2
4 (011)(000) 1 22 (011)(000) 1
5 (210)(100) 1 23 (100)(000) 0
6 (110)(000) 1 24 (010)(001) 1
7 (100)(011) 1 25 (011)(011) 2
8 (011)(011) 2 26 (013)(001) 1
9 (011)(011) 2 27 (011)(011) 2
10 (121)(011) 3 28 (110)(000) 1
11 (110)(011) 2 29 (011)(011) 2
12 (011)(000) 1 30 (012)(000) 1
13 (300)(011) 1 31 (011)(011) 2
14 (011)(001) 1 32 (011)(000) 1
15 (011)(011) 2 33 (010)(011) 2
16 (110)(000) 1 34 (010)(011) 2
17 (011)(011) 2 35 (011)(011) 2
18 (011)(011) 2 36 (112)(000) 1

idp/KOF S.14 12.05.200

 Introduction

X-12-ARIMA: heavy misspec. (120 Obs.)

•Business survey data: bounded time series

Series nmb. Models d Series nmb. Models d
1 (210)(011) 2 19 (101)(101) 0
2 (201)(000) 0 20 (100)(000) 0
3 (101)(101) 0 21 (100)(100) 0
4 (100)(000) 0 22 (100)(000) 0
5 (011)(011) 2 23 (210)(011) 2
6 (202)(101) 0 24 (202)(101) 0
7 (212)(011) 2 25 (011)(011) 2
8 (212)(011) 2 26 (202)(101) 0
9 (012)(011) 2 27 (101)(101) 0
10 (212)(011) 2 28 (201)(000) 0
11 (100)(100) 0 29 (011)(011) 2
12 (202)(101) 0 30 (202)(101) 0
13 (210)(011) 2 31 (210)(011) 2
14 (202)(101) 0 32 (212)(011) 2
15 (210)(011) 2 33 (212)(011) 2
16 (202)(101) 0 34 (011)(011) 2
17 (101)(101) 0 35 (101)(101) 0
18 (011)(011) 2 36 (202)(101) 0

idp/KOF S.15 12.05.200

Series 31: Model, series and simulation (300
Obs.)

(1  B)(1  B ) X t  (1  0.6622 B)(1  0.8238 B ) t

12 12

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How useful are model diagnostics?

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Long simulation (30000)

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 Complexity of real data

Too simplistic model structures

Need for increased flexibility

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Series 3 (Business Survey, linearized)

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Series 4 (Business Survey , linearized)

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Series 7 (Business Survey , linearized)

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Series 17 (Business Survey , linearized)

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Conclusions derived from empirical findings

 Salient features
 Seasonal spectral peaks
 (Potential) location known
 height and width must be accounted for
 6*2=12 degrees of freedom
 Low frequency (trend) peak
 Location, height and width
 3 parameters

 Control of time delay and normalization

 2 parameters

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Design of ˆ ( ) for DFA
 ARMA(15,15)-filter
 17 degrees of freedom
 Stopband: Height and width seasonal peaks 12 par.
 Passband: Height, width and location trend peak 3
par.
 Normalization and time delay 2 par.
 Zero-Pole Combination Filters
 Particular constrained ARMA-filters, see Wildi 2004,2006
 No `identification´
 Always the same filter design (17 parameters for monthly data)
 Series length: 60 and 120
 `Automated´ real time signal extraction routine (no `human
intervention´)
idp/KOF S.25 12.05.200
 Introduction

Conclusions

 The optimization criterion underlying the MBA

does not match the real-time signalextraction
problem
 One-step ahead forecasting
 Misspecification cannot be detected
 Conflict : one-step vs. multi-step ahead forecasting
performances
 Unnecessarily severe constraints and inflexible
designs
 Avoid overfitting

idp/KOF S.26 12.05.200

Empirical Comparisons

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 Boundary filter: the series

The Data

 36 (business survey) and 63 (FED Diffusion indices)

monthly time series
 Bounded series (Unit roots are misspecifications)
 Rich and complex dynamic structure
 Samples of length 60 and 120.

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The signal:
`Ideal Trend´ (ad hoc def. by economic staff)

•Signal: output of the truncated symmetric MA(101)-Filter

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Alternative signal definition: canonical trend

 Compare DFA and TRAMO only

 X-12-ARIMA supposes another signaldefinition

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Strict protocol:
`fairness´ of comparisons
 Length Business survey is 320
 For samples of length 120:
 t=1,…,120: used for `in sample´ concurrent filters
 t=121,…,240: identification and estimation sample
 t=241,…,270: out of sample results
 Models (MBA) and filters (DFA) were fixed
 t=271,…,320: compute symmetric filter MA(2*50+1)
 All comparisons performed for `linearized´ time
series (TRAMO and X-12-ARIMA)
 Analogous for length 60 and diffusion indices
idp/KOF S.31 12.05.200
 Performances

Sample length 120 and 60

All series linearized
DFA,TRAMO,X-12-T,X-12-A

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 Boundary filter: performance measure

Performance DFA vs. MBA : Business Survey

Data Linearized
 Performance measures:
 MSE(DFA) / MSE(MBA)
 Mean and Medians (skewed distr., outliers)
 Results out of sample (2 years out of sample):
 DFA better than MBA for 33 (TRAMO), 32 (X-12-
T) and 31 (X-12-A) series
 Efficiency gain: ~23% to 33% reduction of filter
error variance (median over 36 time series)

idp/KOF S.33 12.05.200

 Boundary filter: performance

Performance DFA (in sample, 120 obs.)

Business Survey Data Linearized
Series TRAMO X-12-T X-12-A Series TRAMO X-12-T X-12-A
1 59% 60% 59% 19 51% 51% 56%
2 46% 45% 51% 20 53% 49% 60%
3 57% 57% 57% 21 59% 58% 68%
4 37% 37% 36% 22 57% 59% 67%
5 57% 60% 82% 23 65% 65% 65%
6 63% 63% 91% 24 68% 68% 79%
7 57% 57% 60% 25 54% 53% 55%
8 65% 68% 71% 26 57% 57% 69%
9 55% 55% 55% 27 63% 61% 68%
10 42% 44% 36% 28 62% 62% 71%
11 61% 61% 51% 29 70% 70% 70%
12 49% 47% 70% 30 51% 51% 72%
13 73% 73% 54% 31 70% 70% 70%
14 55% 53% 71% 32 44% 44% 42%
15 65% 65% 64% 33 58% 58% 59%
16 57% 57% 60% 34 43% 45% 45%
17 56% 56% 59% 35 54% 57% 56%
18 63% 63% 63% 36 61% 60% 69%

Mean 57% 57% 62%

Median 57% 57% 62%

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 Boundary filter: performance

Performance DFA (out of sample, 2 years)

Business Survey Data, Linearized
Series TRAMO X-12-T X-12-A Series TRAMO X-12-T X-12-A
1 76% 76% 76% 19 67% 66% 63%
2 68% 66% 83% 20 56% 52% 71%
3 67% 66% 56% 21 94% 91% 93%
4 46% 46% 50% 22 86% 87% 75%
5 120% 114% 91% 23 89% 87% 110%
6 99% 100% 84% 24 50% 49% 81%
7 144% 143% 63% 25 86% 86% 86%
8 63% 68% 66% 26 71% 70% 96%
9 62% 62% 62% 27 63% 63% 63%
10 67% 66% 92% 28 66% 65% 93%
11 80% 80% 63% 29 90% 90% 90%
12 70% 68% 88% 30 90% 90% 123%
13 63% 63% 61% 31 52% 52% 52%
14 40% 36% 107% 32 48% 48% 50%
15 57% 58% 69% 33 185% 188% 161%
16 54% 53% 59% 34 75% 77% 77%
17 36% 36% 45% 35 81% 87% 94%
18 37% 35% 37% 36 87% 86% 113%

Mean 75% 74% 79%

Median 68% 67% 77%
idp/KOF S.35 12.05.200
 Boundary filter: performance measure

Performance DFA vs. MBA :

Business survey (36 series), Ideal Trend

TRAMO X-12-T X-12-A

in sample out of sample in sample out of sample in sample out of sample
120 Observations mean 57% 75% 57% 74% 62% 79%
median 57% 68% 57% 67% 62% 77%
60 Observations mean 50% 67% 51% 68% 51% 60%
median 47% 62% 50% 64% 50% 55%

• Comparison MBA in sample vs. DFA out of sample

TRAMO X-12-A
120 Observations Mean 78% 79%
Median 78% 80%

idp/KOF S.36 12.05.200

 Boundary filter: performance measure

Performance DFA vs. MBA :

Business survey (36 series), Canonical Trend

TRAMO
In sample Out of sample
Mean 79% 78%
Median 79% 79%

idp/KOF S.37 12.05.200

 Boundary filter: performance measure

Performance DFA vs. MBA :

Diffusion Indices (63 series, 60 Obs.), Ideal Trend

TRAMO X-12-T X-12-A

Mean Median Mean Median Mean Median
in sample 50% 45% 51% 49% 58% 55%
out of sample (1 year) 53% 48% 54% 48% 74% 67%
out of sample (2 years) 59% 51% 61% 50% 82% 74%
out of sample (3 years) 70% 56% 72% 54% 92% 82%
out of sample (7 years) 83% 69% 86% 71% 100% 89%

idp/KOF S.38 12.05.200

 Boundary filter: performance measure

Performance DFA vs. MBA :

Diffusion Indices (63 ser., 60 Obs.), Canonical Trend

TRAMO
Mean Median
in sample 41% 41%
out of sample (1 year) 59% 58%
out of sample (2 years) 58% 55%
out of sample (3 years) 63% 60%
out of sample (7 years) 70% 68%

idp/KOF S.39 12.05.200

Conclusions

 Massive efficiency gains obtained by the DFA out

of sample (20%-50%)
 Regular `updating´ of DFA parameters (every year)
 Obsolete X-12-A version 0.2.8 amended by
stationary model alternatives performs significantly
better than TRAMO
 Different estimation algorithms have no significant
effect (X-12-T vs. TRAMO)
 Identification procedure of `old´ X-12-ARIMA is
better (X-12-T vs. X-12-A).

idp/KOF S.40 12.05.200

Why do DFA level-filter perform better
(Part I)?

Examples based on
particular time series

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Series 4 Business Survey: Ideal Trend

(1  B) X t  (1  0.2063) t

idp/KOF S.42 12.05.200

Filter Diagnostics

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Revision Error Diagnostics

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Series 7 Business Survey : Ideal Trend

(1  B12 )(1  0.3022) X t  (1  0.8597 B12 ) t

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Filter Diagnostics

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Revision Error Diagnostics

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Series 41 Diffusion Indices: Canonical Trend

(1  B)(1  B12 ) X t  (1  0.9487 B)(1  0.7555 B12 ) t

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Filter Diagnostics (sample length 60)

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Revision Error Diagnostics

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Conclusions
 Misspecified unit roots impair the fit towards
frequency zero
 Unnecessarily severe constraints
 False or missing seasonal operators (1-B 12) impair
the fit at seasonal frequencies
 Too simplistic seasonal operators
 Practical time series are much more complex than
assumed by two-parameteric models
 Much more degrees of freedom are needed!
 DFA generally outperforms MBA with respect to
smaller time delays in the important passband.

idp/KOF S.51 12.05.200

Conclusions

 The DFA out of sample outperforms the MBA

although models are computed in sample
 The gain in performance is still 20%
 The DFA computed on the original data (not
linearized) outperforms the MBA on the linearized
sample.
 The gain out of sample is still 30%
 Linearization is not necessary for the DFA
 These are strong evidences against the
methodological construct behind the MBA

idp/KOF S.52 12.05.200

Conclusions

 DFA-Filter characteristics are well behaved (17

parameters, T=60)
 Target is known: symmetric filter
 Degrees of freedom are canalized towards salient
features
 Location, height and width of dominant spectral
peaks

idp/KOF S.53 12.05.200

Conclusions

 Canonical trend is misspecified

 Magnifies misspecification issues (series 41)
 Why should we use misspecified model-based
signal definitions (dips at all seasonal frequencies)?
 Riples in transferfunctions of MBA concurrent
filters
 Finite sample issues, see Findley/Martin (2005):
Frequency Domain Analyses of SEATS and X-11/X-
12-ARIMA Seasonal Adjustment Filters for Short
and Moderate-Length Time Series

idp/KOF S.54 12.05.200

Feedback new leading indicator:
A PRACTICAL point of view
 In order of priority
 No revisions
 Fast and reliable detection of turning points
 Level approximation
 Statistician/user tradeoff
 Supply a new product – concurrent TP filter -
which is highly demanded by the market.

idp/KOF S.55 12.05.200

 PART II

Detection of Turning Points

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Problem

 Level and TP’s are incongruent criteria.

 Leakage
 Noise becomes visible in vicinity of TP’s because
trend is flat.
 Time delay is often too large
 More general criterion is needed

idp/KOF S.57 12.05.200

Leakage Problem in the vicinity of TP’s

TP-detection and level estimation: two incongruent criteria

0.8
0.6
0.4
0.2
0.0

2003 M 11 2004 M 2 2004 M 5 2004 M 8 2004 M 11 2005 M 3

idp/KOF S.58 12.05.200

 A generalized Error Criterion

N /2
min ˆ  | (k )  
( ) |2 I ( )
k NX k
k 1

 2 [T / 2]
 T  k 0 W ( ) 2
|  ( )  ˆ ( ) |2 I ( )
A
k k k NX k
min ˆ 
 2  [T / 2] 2W ( ) 2 A( ) Aˆ ( )(1  cos( ˆ ( )))I ( )
 T k 0 k k k k NX k

 Stronger damping of high-frequency noise: W ( )

 Smaller Time delays : 
 W(ω) is monotonic (increasing) and λ>1
 W(ω)=1 and λ=1: best mean-square approximation
idp/KOF S.59 12.05.200
 Direkter Filteransatz

Real time DFA-filtered Konjunkturbarometer

1.5

-1.5
2001 2002 2003

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 Direkter Filteransatz

Real time DFA-filtered Konjunkturbarometer

1.5

-1.5
2001 2002 2003

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 Direkter Filteransatz

Real time DFA-filtered Konjunkturbarometer

1.5

-1.5
2001 2002 2003

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 Direkter Filteransatz

Real time DFA-filtered Konjunkturbarometer

1.5

-1.5
2001 2002 2003

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 Direkter Filteransatz

Real time DFA-filtered Konjunkturbarometer

1.5

-1.5
2001 2002 2003

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 Direkter Filteransatz

Real time DFA-filtered Konjunkturbarometer

1.5

-1.5
2001 2002 2003

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 Direkter Filteransatz

Real time DFA-filtered Konjunkturbarometer

1.5

-1.5
2001 2002 2003

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 Direkter Filteransatz

Real time DFA-filtered Konjunkturbarometer

1.5

-1.5
2001 2002 2003

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 Direkter Filteransatz

Real time DFA-filtered Konjunkturbarometer

1.5

-1.5
2001 2002 2003

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 Direkter Filteransatz

Real time DFA-filtered Konjunkturbarometer

1.5

-1.5
2001 2002 2003

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 Direkter Filteransatz

Real time DFA-filtered Konjunkturbarometer

1.5

-1.5
2001 2002 2003

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 Direkter Filteransatz

Real time DFA-filtered Konjunkturbarometer

1.5

-1.5
2001 2002 2003

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 Direkter Filteransatz

Real time DFA-filtered Konjunkturbarometer

1.5

-1.5
2001 2002 2003

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 Direkter Filteransatz

Real time DFA-filtered Konjunkturbarometer

1.5

-1.5
2001 2002 2003

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 Direkter Filteransatz

Real time DFA-filtered Konjunkturbarometer

1.5

-1.5
2001 2002 2003

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 Direkter Filteransatz

Real time DFA-filtered Konjunkturbarometer

1.5

-1.5
2001 2002 2003

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 Direkter Filteransatz

Real time DFA-filtered Konjunkturbarometer

1.5

-1.5
2001 2002 2003

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 Direkter Filteransatz

Real time DFA-filtered Konjunkturbarometer

1.5

-1.5
2001 2002 2003

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 Direkter Filteransatz

Real time DFA-filtered Konjunkturbarometer

1.5

-1.5
2001 2002 2003

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 Direkter Filteransatz

Real time DFA-filtered Konjunkturbarometer

1.5

-1.5
2001 2002 2003

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 Direkter Filteransatz

Failure Rates (computed by the KOF)

 Observation period: 01.01.2000-01.03.2006

 False Diagnostics X-11: 10
 False Diagnostics DFA: 3
 DFA-TP is able to anticipate!
X-11 ­1 0 1 2 3
Error type 1 3 2
Type 2 (between TP's) 5
Total False diagnostics 10

DFA -1 0 1 2
Error type 1 3 1 2
Type 2 (between TP's)
Type 2 (at TP's)
Total false diagnostics 6
Without Anticipations 3

idp/KOF S.80 12.05.200

ARMA(15,15)-filter: causal real-time filter

Yt  2.4313Yt 1  1.4727Yt  2  2.4589Yt 3  4.6903Yt  4  2.3268Yt 5

1.4331Yt 6  2.26Yt 7  0.902Yt 8  0.0113Yt 9  0.0018Yt 10  0.0039Yt 11 
0.002Yt 12  0.0000Yt 13  0.0000Yt 14  0.0000Yt 15
0.0845 X t  0.0569 X t 1  0.0324 X t  2  0.1309 X t 3  0.0629 X t  4 
0.001X t 5  0.035 X t 6  0.0019 X t 7  0.03 X t 8  0.0107 X t 9  0.0073 X t 10 
0.0036 X t 11  0.0007 X t 12  0.0000 X t 13  0.0000 X t 14  0.0000 X t 15

idp/KOF S.81 12.05.200

Filter characteristics:
Amplitude DFA TP-filter vs. DFA level filter

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Filter characteristics:
Delay TP-filter vs. level filter

idp/KOF S.83 12.05.200

TP-filter vs. Level Filter

Baro unfiltered
1 Level Filter
TP-Filter

0
1994
1994
1995
1995
1996
1997
1997
1998
1998
1999
1999
2000
2001
2001
2002
2002
2003
2004
2004
2005
-1

-2

idp/KOF S.84 12.05.200

Old vs. new KOF-Barometer
New Barometer is in real-time (concurrent filter)

4.00

3.00

2.00

1.00
Old Baro
New Baro
0.00
1991 M 1
1991 M 12
1992 M 11
1993 M 10
1994 M 9
1995 M 8
1996 M 7
1997 M 6
1998 M 5
1999 M 4
2000 M 3
2001 M 2
2002 M 1
2002 M 12
2003 M 11
2004 M 10
2005 M 9
-1.00

-2.00

-3.00

idp/KOF S.85 12.05.200

 Diagnostics in the DFA

Filter characteristics
Analysis of filter errors

www.kof.ethz.ch
www.idp.zhwin.ch
Series 33, ideal trend:
Filter Characteristics

idp/KOF S.87 12.05.200

Series 33, ideal trend:
Bad performance out of sample

idp/KOF S.88 12.05.200

Diagnostic

 Diagnostic:
 overshooting of amplitude function
 Corresponding spectral peak in filter errors
 Solution: restrict transferfunction so that amplitude
cannot overshoot (A(ω)<1.1 for all ω)
 Very easy (1 line of code) because filter is optimized
directly

idp/KOF S.89 12.05.200

Series 33, ideal trend:
Corrected filter

idp/KOF S.90 12.05.200

Out of sample performance

idp/KOF S.91 12.05.200

Conclusions

 Diagnostics are based on

 Filter characteristics (amplitude, time delay)
 Filter errors: `suspect´ spectral peaks
 It is still possible to enhance the DFA
 All results obtained in preceding tables are based
on the `automated´ DFA (no human intervention)

idp/KOF S.92 12.05.200

How to verify these results?

www.kof.ethz.ch
www.idp.zhwin.ch
Results available in Excel
Email to: wia@zhwin.ch
lag CHIMT_DEX12_F1A_S00
CHIMT_DEX12_F1A_S00
CHIMT_DEX12_F1B_S00
CHIMT_DEX12_F1B_S00
CHIMT_DEX12_F2A_S00
CHIMT_DEX12_F2A_S00
CHIMT_DEX12_F2B_S00
AR MA AR MA AR MA AR
0 1 0.18251845 1 0.31541543 1 0.2914562 1
1 -0.85140615 0.04659423 -1.46708376 -0.19845817 -1.38151327 -0.21745491 -3.36915574
2 -0.62738702 -0.0979975 1.32884811 0.25008302 -1.27816326 -0.49948554 5.26453485
3 1.097489533 0.04350718 -1.50275891 -0.34005661 3.30640999 0.65706077 -4.54329994
4 -0.54478372 0.01116092 0.7923393 0.05620913 -0.50853241 0.24175743 1.95563106
5 0.071559525 0.01116092 -0.24387793 -0.1137235 -3.20087087 -0.79455828 -0.01255998
6 0.318119421 0.01116092 0.34025138 0.08870741 2.21039355 0.16903169 -0.30171467
7 -0.25004938 0.01116092 -0.12113046 0.02593908 1.43406135 0.54303915 0.05273983
8 -0.04935325 0.01116092 -0.05889456 -0.02144223 -2.16750486 -0.31343054 0.0053496
9 0.250000492 0.01116092 0.00202535 -0.00241562 0.23241833 -0.13225003 -0.0017537
10 -0.05142859 0.01116092 0.0008351 0.0006807 0.59435117 0.06191141 0.00011557
11 -0.30472177 0.01116092 -6.84E-05 -3.30E-05 -0.29594568 -0.01214883 -8.71E-05
12 -0.20334143 -0.17135753 -2.66E-06 -1.57E-06 0.18811676 0.05742151 -6.18E-06
13 0.341975756 -0.03543331 -1.26E-08 -7.10E-09 -0.07787042 -0.0219154 -2.90E-07
14 0.25735004 0.10915842 -6.91E-10 -1.07E-10 -0.01230402 0.00620898 -5.69E-09
15 -0.27954077 -0.03234626 -9.64E-11 -5.83E-11 -0.00559811 -0.00690134 -4.54E-11

scale 1 1 1 1
intercept 0 0 0 0
Mean series (the
-1.50464644
means are computed in sample
29.1801432
from ) -8.96015021 -31.13819

Initial values for recursive ARMA-filter

idp/KOF S.94 12.05.200

Links/adresses

 New empirical material available

 Data
 Original
 Linearized
 Filters
 Symmetric
 Concurrent
– DFA
– MBA
 wia@zhwin.ch

idp/KOF S.95 12.05.200

References
 M. Wildi, B. Schips, Signal Extraction: How
(in)efficient are Model-Based Approaches? An
Empirical Study based on TRAMO/SEATS and
Census X-12-ARIMA, working paper,
www.kof.ethz.ch/signalextraction.
 M. Wildi, Signalextraction: Efficient estimation, Unit
Roots and Early Detection of Turning Points,
Lecture Notes in Economics and Mathematical
Systems, Vol. 547, Berlin/Heidelberg/New York,
2004.
 M. Wildi, Real Time Signalextraction: Beyond
Maximum Likelihood Principles. In preparation.

idp/KOF S.96 12.05.200

Additional References

 M. Bernarda, Klassifikation von Zeitreihen mittels Spektral- und

Clusteranalyse, University of Applied Technical Sciences, Zürich
2003, mimeo.
 M. Graff/B. Schips, Nowcasts and seasonal adjusted data, paper
presented at the ISF conference 2003, Merida (Mexico)
 B. Schips, Fragen der Verwendung saison-bereinigter Daten für
die Konjunkturanalyse, in: ifo-Studien 42 (1996)
 M. Wildi, Signal-extraction and detection of turning points, in: ifo-
Studien 44 (1998)
 M. Wildi, Detection of compatible turning points and signal-
extraction for non-stationary time series, in: P. Kall (Ed.)
Operation Research Proceedings. Selected papers of the
International Conference on Operations Research 1998,
Berlin/Heidelberg/New York 1999

idp/KOF S.97 12.05.200