Seminar

Seminar: Seasonal adjustment of high-frequency data

On Thursday September 26th 2019, Barend Abeln (RUG) will give a presentation titled: "Seasonal adjustment of high-frequency data"

Date
September 26, 2019
Time
13:00 - 14:00
Location
CPB-office, Bezuidenhoutseweg 30, The Hague (Room 3 - Braamzaal)
Presentation
Barend Abeln (RUG)
Discussant
Peter Hein van Mulligen en/of Wouter Jonkers
Working language
Nederlands

In the last decade large data sets have become available, both in terms of the number of time series and with higher frequencies (daily and even higher). All series may suffer from seasonality, which hides other important fluctuations. There- fore time series are typically seasonally adjusted. Recently, Abeln et al. (2019) presented CAMPLET, a new seasonal adjustment method, which does not pro- duce revisions when new observations become available. The aim of this paper is to show the attractiveness of CAMPLET for high frequency time series. We illustrate seasonal adjustment in CAMPLET for the series of daily consumption of electricity in France, and seasonally adjust the series of gas production in the Netherlands.

Contacts

Foto Simone Pailer
Simone Pailer +31 88 984 60 00 Read more