Effects of Forecasts on the Revisions of Concurrent Seasonally Ad Justed Data Using the X-11 Seasonal Adjustment Procedure
نویسندگان
چکیده
Three ARIMA forecast extension procedures for Census Bureau X-11 concurrent seasona adjustment were empirically tested. Forecasts were obtained from fitted seasonal ARIMA models augmented with regression terms for ouffiers, trading day effects, and Easter effects. Revisions between initia1 and fina seasonaIIy adjusted vaIues were computed. Ranked ANOVAs were used on various revision measures to determine the statistical significance of the differences between the extension procedures. The main concIusion was that extending the series with enough forecasts to apply a symmetric filter reduced the revisions over not extending the series and using asymmetric filters. This resuIt heId whether the mode1 used was one carefully fit by the anaIyst or was a SimpIerJefauIt model. Extension of the series with only one year of forecasts was also examined.
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