A General Method for Estimating the Variances of X11-arima Estimators
نویسنده
چکیده
The X11-ARIMA method, or X12 method based on the latter procedure, with their various variants are the most commonly procedures used for estimating the seasonally adjusted data and the trend-cycle. Both of these procedures fail to provide estimates for the variances of the estimators that they produce. In this paper we propose a simple general method, based on linear approximation, for estimating the variances of the X11-ARIMA estimators. This method is based on Pfeffermann (1994) but is extended for any multi-stage run. The variances account for the sampling error of the survey estimators and for the variability of the trend, seasonal and irregular components defining the decomposition model. We demonstrate the application of this suggested method to Israeli time series.
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