Les méthodes et logiciels de désaisonnalisation des séries économiques : une revue de la littérature

Darné, Olivier

Journal de la Société française de statistique, Tome 145 (2004) no. 4, pp. 79-102.

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. | MR | Zbl

Akaike H. et Ishiguro M. (1980), " BAYSEA, a bayesian seasonal adjustment program", Computer Science Monographs No 13, The Institute of Statistical Mathematics, Tokyo. | Zbl

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. | MR | Zbl

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. | MR | Zbl

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. | MR | Zbl

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. | MR

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. | MR

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. | JFM

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. | MR | Zbl

Hannan E.J. (1964), " The estimation of a changing seasonal pattern", Journal of the American Statistical Association, 59, 1063-1077. | MR | Zbl

Hannan E.J. (1967), " Measurement of a wandering signal amid noise", Journal of Applied Probability, 4, 90-102. | MR | Zbl

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. | MR | Zbl

Harvey A.C. (1989), Forecasting, Structural Time Series Models and the Kalman Filter, Cambridge University Press, Cambridge. | Zbl

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. | MR | Zbl

Huber P.J. (1964), " Robust estimation of a location parameter", Annals of Mathematical Statistics, 35, 73-101. | MR | Zbl

Hylleberg S. (1992), Modelling Seasonality, Oxford University Press, New York.

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. | MR | Zbl

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. | MR | Zbl

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. | MR | Zbl

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. | JFM | Zbl

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. | MR | Zbl

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. | Zbl

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. | MR | Zbl

Macaulay F.R. (1931), The Smooting of Time Series, National Bureau of Economic Research, New York. | JFM

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. | Zbl

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. | Zbl

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. | MR | Zbl

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. | MR

Rosenblatt H.M. (1963), Time Series Analysis, John Wiley and Sons, New York.

Shiskin J. (1957), " Electronic computers and business indicators", Occasional Paper No 57, National Bureau of Economic Research, New York.

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. | JFM

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. | MR | Zbl

Wold H.O. (1938), A Study in the Analysis of Stationary Time Series, Almquist and Wicksell, Uppsala (seconde édition, 1954). | JFM | MR | Zbl

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. | JFM