Applications: The Surrogate Henderson Filters in X‐11

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31 citations0/0 files storedAustralian & New Zealand Journal of Statistics

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

Abstract

This paper explains the surrogate Henderson filters that are used in the X‐11 variant of the Census Method II seasonal adjustment program to obtain trends at the ends of time series. It describes a prediction interpretation for these surrogate filters, justifies an approximation to the filters, proposed by Kenny & Durbin (1982), and proposes a further interpretation of the results. The starting point for the paper is unpublished work by Musgrave (1964a, 1964b). His work has continuing relevance to current seasonal adjustment practice. This paper makes that work generally available for the first time, and reviews and extends it.

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References

1965The X-11 variant of the census method II seasonal adjustment program 1982Local Trend Estimation and Seasonal Adjustment of Economic and Social Time Series 1980Data revisions with moving average seasonal adjustment procedures 1957Seasonal Adjustments by Electronic Computer Methods

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2002A note on Musgrave asymmetrical trend-cycle filters

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