Zerlegung ökonomischer Zeitreihen: Ein deterministischer und stochastischer Ansatz

The paper discusses a new seasonality hypothesis which is one part of a weighted regression approach for the decomposition of a time series into a trend, a seasonal component and an irregular component. It is shown that there exists a regression formulation leading, as in the descriptive approach in Schlicht (1981), to a unique decomposition withouit having recourse to initial values. It turns out that both solutions to the descriptive regression are conditional expected values in the stochastic specification. The decomposition as well as predciction are illustrated by examples