منابع مشابه
On X-11 Seasonal Adjustment and Estimation of its MSE
Most official seasonal adjustments are based on the X-11 method and its extensions. An important problem with the use of this method is how to estimate the mean square error (MSE) of the estimators of the seasonal effects and other components. Wolter and Monsour (1981) assumed that the estimators are unbiased and proposed an approach for variance estimation that uses the linear approximation to...
متن کاملModel-Based Seasonal Adjustment Diagnostics
Several model-based seasonal adjustment diagnostics are currently being incorporated into X-13-ARIMASEATS, a new hybrid seasonal adjustment program under development at the U.S. Census Bureau. These diagnostics have been implemented in the Ox programming language, and this paper discusses various aspects of the implementation. The diagnostics are normalized quadratic forms in the data, and roug...
متن کاملThe Quality of Seasonal Adjustment: An Empirical Comparison of Various Seasonal Adjustment Methods
Abstract Using two basic assumptions of time series analysis, a test is proposed to assess the quality of seasonal adjustment of a series. The test is applied to several seasonally adjusted series of the Consumer Price Index (CPI) using three methods of seasonal adjustment: State Space Model Based Method (SSMB), TRAMO SEATS Method and X12ARIMA method. The empirical results are presented along w...
متن کاملA Multivariate Approach to Seasonal Adjustment
This paper suggests a new semi-parametric multivariate approach to seasonal adjustment. The primary innovation is to use a large dimensional factor model of cross section dependence to estimate the trend component in the seasonal decomposition of each time series. Because the trend component is speci ed to capture covariation between the time series, common changes in the level of the time seri...
متن کاملErrors in Variables and Seasonal Adjustment Procedures
Seasonal adjustment procedures attempt to estimate the sample realizations of an unobservable conomic time series in the presence of both seasonal and irregular factors. In this article, we consider a factor that has not been considered explicitly in previous treatments ofseasonal adjustment: measurement error. Because of the sample design used in the Current Population Survey, measurement erro...
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ژورنال
عنوان ژورنال: Brazilian Review of Econometrics
سال: 1990
ISSN: 1980-2447
DOI: 10.12660/bre.v10n11990.3024