The RATS Software Forum

Dear Tom:
When I learn ecourse state space,I have a deep question. In BN or UC decomposion, series have been seasonally adjusted before, and in commandeur & koopman's book, or stock & watson's dynamic factor model, they all estimate season component. Can we decompose directly a series into level, trend, seasonal, irregular and cycle with AR(2)? Addtional, for a same series and start point, if end points are different, seasonally adjusted series are also different under same method.


Best Regard
hardmann

hardmann wrote:Dear Tom:
When I learn ecourse state space,I have a deep question. In BN or UC decomposion, series have been seasonally adjusted before, and in commandeur & koopman's book, or stock & watson's dynamic factor model, they all estimate season component. Can we decompose directly a series into level, trend, seasonal, irregular and cycle with AR(2)?

You could, but unless there's something else involved in the model, the combination of the AR(2) and the local level/trend is usually too much flexibility.

hardmann wrote:Addtional, for a same series and start point, if end points are different, seasonally adjusted series are also different under same method.

That's true with any smoothing procedure.