Download or read book Analysis of Revisions in the Seasonal Adjustment of Data Using X 11 ARIMA Model based Filters written by Guy Huot and published by . This book was released on 1985 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Concurrent seasonally adjusted values are subject to revision when more data become available. This study attempts to analyse the total revision associated with the concurrent seasonal filter for the X-11-ARIMA seasonal adjustment method. The total revision is defined as the mean-squared difference between the frequency response functions of the central and concurrent filters at certain frequencies. Four ARIMA models are considered which are used in the construction of the filter weights. We determine total revision for different forecast horizons and different ARIMA parameter values. Then we evaluate for different forecast horizons the sensitivity of total revision to change in model parameter values"--Abstract.
Download or read book Seasonal Adjustment Methods and Real Time Trend Cycle Estimation written by Estela Bee Dagum and published by Springer. This book was released on 2016-06-20 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores widely used seasonal adjustment methods and recent developments in real time trend-cycle estimation. It discusses in detail the properties and limitations of X12ARIMA, TRAMO-SEATS and STAMP - the main seasonal adjustment methods used by statistical agencies. Several real-world cases illustrate each method and real data examples can be followed throughout the text. The trend-cycle estimation is presented using nonparametric techniques based on moving averages, linear filters and reproducing kernel Hilbert spaces, taking recent advances into account. The book provides a systematical treatment of results that to date have been scattered throughout the literature. Seasonal adjustment and real time trend-cycle prediction play an essential part at all levels of activity in modern economies. They are used by governments to counteract cyclical recessions, by central banks to control inflation, by decision makers for better modeling and planning and by hospitals, manufacturers, builders, transportation, and consumers in general to decide on appropriate action. This book appeals to practitioners in government institutions, finance and business, macroeconomists, and other professionals who use economic data as well as academic researchers in time series analysis, seasonal adjustment methods, filtering and signal extraction. It is also useful for graduate and final-year undergraduate courses in econometrics and time series with a good understanding of linear regression and matrix algebra, as well as ARIMA modelling.
Download or read book Time Series Analysis and Macroeconometric Modelling written by Kenneth Frank Wallis and published by Edward Elgar Publishing. This book was released on 1995-01-01 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'An excellent reference volume of this author's work, bringing together articles published over a 25 year span on the statistical analysis of economic time series, large scale macroeconomic modelling and the interface between them.' - Aslib Book Guide This major volume of essays by Kenneth F. Wallis features 28 articles published over a quarter of a century on the statistical analysis of economic time series, large-scale macroeconometric modelling, and the interface between them. The first part deals with time-series econometrics and includes significant early contributions to the development of the LSE tradition in time-series econometrics, which is the dominant British tradition and has considerable influence worldwide. Later sections discuss theoretical and practical issues in modelling seasonality and forecasting with applications in both large-scale and small-scale models. The final section summarizes the research programme of the ESRC Macroeconomic Modelling Bureau, a unique comparison project among economy-wide macroeconometric models.
Download or read book Macroeconometrics and Time Series Analysis written by Steven Durlauf and published by Springer. This book was released on 2016-04-30 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Download or read book Seasonal Adjustment with the X 11 Method written by Dominique Ladiray and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 245 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most widely used statistical method in seasonal adjustment is implemented in the X-11 Variant of the Census Method II Seasonal Adjustment Program. Developed by the US Bureau of the Census, it resulted in the X-11-ARIMA software and the X-12-ARIMA. While these integrate parametric methods, they remain close to the initial X-11 method, and it is this "core" that Seasonal Adjustment with the X-11 Method focuses on. It will be an important reference for government agencies, and other serious users of economic data.
Download or read book Counting the labor force written by United States. National Commission on Employment and Unemployment Statistics and published by . This book was released on 1979 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Counting the Labor Force Data collection processing and presentation national and local written by United States. National Commission on Employment and Unemployment Statistics and published by . This book was released on 1979 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Data Collection Processing and Presentation written by United States. National Commission on Employment and Unemployment Statistics and published by . This book was released on 1980 with total page 612 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Data Revisions with Moving Average Seasonal Adjustment Procedures written by David A. Pierce and published by . This book was released on 1979 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Time Series Analysis and Adjustment written by Haim Y. Bleikh and published by CRC Press. This book was released on 2016-02-24 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Time Series Analysis and Adjustment the authors explain how the last four decades have brought dramatic changes in the way researchers analyze economic and financial data on behalf of economic and financial institutions and provide statistics to whomsoever requires them. Such analysis has long involved what is known as econometrics, but time series analysis is a different approach driven more by data than economic theory and focused on modelling. An understanding of time series and the application and understanding of related time series adjustment procedures is essential in areas such as risk management, business cycle analysis, and forecasting. Dealing with economic data involves grappling with things like varying numbers of working and trading days in different months and movable national holidays. Special attention has to be given to such things. However, the main problem in time series analysis is randomness. In real-life, data patterns are usually unclear, and the challenge is to uncover hidden patterns in the data and then to generate accurate forecasts. The case studies in this book demonstrate that time series adjustment methods can be efficaciously applied and utilized, for both analysis and forecasting, but they must be used in the context of reasoned statistical and economic judgment. The authors believe this is the first published study to really deal with this issue of context.
Download or read book Proceedings of the Business and Economic Statistics Section written by American Statistical Association. Business and Economic Statistics Section and published by . This book was released on 1986 with total page 700 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Controlling Revisions in Arima Model Based Seasonal Adjustment written by Christophe Planas and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Statistical Office of the European Community (EUROSTAT) currently uses two different methods for seasonally adjusting macroeconomic indicators, through the implementations of the programs X-12-ARIMA (Findley et al., 1998) and TRAMO-SEATS (Gomez and Maravall, 1996). A major difference between the two methodologies is that X-11 filters are of finite length while the signal extraction filters in TRAMO-SEATS are infinite whenever the observed series model embodies a MA part. In this paper, we show how infinite seasonal adjustment filters can be optimally approximated by finite ones, and we apply this result to the problem of controlling the length of the revision period. We also show how considering finite versions of the signal extraction filters improves the interpretation of the X-11 filters in the model-based framework.
Download or read book Signal Extraction written by Marc Wildi and published by Springer Science & Business Media. This book was released on 2005-09-06 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: The material contained in this book originated in interrogations about modern practice in time series analysis. • Why do we use models optimized with respect to one-step ahead foreca- ing performances for applications involving multi-step ahead forecasts? • Why do we infer 'long-term' properties (unit-roots) of an unknown process from statistics essentially based on short-term one-step ahead forecasting performances of particular time series models? • Are we able to detect turning-points of trend components earlier than with traditional signal extraction procedures? The link between 'signal extraction' and the first two questions above is not immediate at first sight. Signal extraction problems are often solved by su- ably designed symmetric filters. Towards the boundaries (t = 1 or t = N) of a time series a particular symmetric filter must be approximated by asymm- ric filters. The time series literature proposes an intuitively straightforward solution for solving this problem: • Stretch the observed time series by forecasts generated by a model. • Apply the symmetric filter to the extended time series. This approach is called 'model-based'. Obviously, the forecast-horizon grows with the length of the symmetric filter. Model-identification and estimation of unknown parameters are then related to the above first two questions. One may further ask, if this approximation problem and the way it is solved by model-based approaches are important topics for practical purposes? Consider some 'prominent' estimation problems: • The determination of the seasonally adjusted actual unemployment rate.
Download or read book Employment and Earnings written by and published by . This book was released on 2007 with total page 1068 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Housing Statistics of the United States 2012 written by Shana Hertz Hattis and published by Bernan Press. This book was released on 2012-12-17 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: Housing Statistics is the most comprehensive source for current and historical statistics on households, housing, and housing finance. Numerous easy-to-use tables provide data on a wide range of housing topics, including: household and housing unit characteristics; prices, rents, and affordability; housing production and investment; home mortgage lending; and federal housing programs. The tables are accompanied by two appendices that describe the data included in each table and the major housing data collection programs.
Download or read book Liste de Documents Suppl mentaires written by Statistics Canada. Library and published by . This book was released on 1991 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Quarterly National Accounts Manual 2017 Edition written by Mr.Kwangwon Lee and published by International Monetary Fund. This book was released on 2018-11-06 with total page 285 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Quarterly National Accounts Manual (the Manual) provides conceptual and practical guidance for compiling quarterly national accounts (QNA) statistics. The Manual offers a comprehensive review of data sources, statistical methods, and compilation techniques to derive official estimates of quarterly GDP. The new edition—which upgrades the first edition, published in 2001—improves and expands the previous content based on recent methodological advances, best country practices, and suggestions received from QNA compilers and experts.
