[Gretl-users] Time series detrend deseasonality

[Robert Besso]

Hi

I would like to to do following steps with gretl if possible:
1. from a time series I have, I would like to remove trend and seasonality (equation parameters should be accessible)
I expect a sinus similar wave for seasonality eq. and a linear eq. for trend (I do not know if I can define this)
2. after removing these two "things" I would like to take the rest (the error), plot an histogram and with Maximum Likelihood extract parameters
of my density fct ...

Possible ?

Can you give me some hints ...? I will appreciate.

Thanks
GiPO



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[John C Frain]

The TRAMO/SEATS routines which are available in Gretl allow one to
model your series as a SARIMA and decompose the series into seasonal,
trend, and irregular. It gives parameter values for each process.
The process is rather complicated and I would recommend that you
consult the material be Augustin Maravall on the Bank of Spain
web-site. If you are satisfied with a non-parametric approach the the
non=parametric X12 Census approach is also available in Gretl.

Best Regards

John

Post by Robert Besso
Hi
1. from a time series I have, I would like to remove trend and seasonality
(equation parameters should be accessible)
I expect a sinus similar wave for seasonality eq. and a linear eq. for trend
(I do not know if I can define this)
2. after removing these two "things" I would like to take the rest (the
error), plot an histogram and with Maximum Likelihood extract parameters
of my density fct ...
Possible ?
Can you give me some hints ...? I will appreciate.
Thanks
GiPO
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