The Effects of Asymmetric Filters on Seasonal Factor Revisions

Estela Bee Dagum

32 citations0/0 files storedJournal of the American Statistical Association

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Forecasting Techniques and Applications Time Series Analysis and Forecasting Statistical and numerical algorithms

Abstract

Recent data seasonally adjusted by moving average methods are subject to revisions due to differences in the properties of the linear filters for the same seasonal adjustment when later data become available. This article introduces a measure of the total revision associated with the concurrent and forecasting seasonal filters and applies it to the Census Method II-X-11 variant and the X-11-ARIMA method. To consider the fact that the spectrum of many economic indicators tends to have higher peaks at the lower seasonal frequencies than at the higher, the revision measures are calculated both over all the seasonal frequencies and over selected seasonal frequency intervals.

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References

1977Book Review: Time Series Analysis: Forecasting and Control 1971Time Series Analysis Forecasting and Control 1974Seasonal Adjustment and Relations Between Variables 1965The X-11 variant of the census method II seasonal adjustment program 1978Seasonal Analysis of Economic Time Series 1979Analysis of Economic Time Series 1982Local Trend Estimation and Seasonal Adjustment of Economic and Social Time Series 1968Linear Approximations to the Census and BLS Seasonal Adjustment Methods

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1993The effect of seasonal adjustment filters on tests for a unit root 1987Revisions of Trend-Cycle Estimators of Moving Average Seasonal Adjustment Methods

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