Download or read book In Defence of Model Based Seasonal Adjustment written by Imad A. Moosa and published by . This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is argued that the X-11 seasonal adjustment procedure suffers from severe drawbacks, and so it should be abandoned in favour of model-based seasonal adjustment. Furthermore, it is argued that Harvey's structural time series model is superior to the conventional seasonal ARIMA models for the purpose of model-based seasonal adjustment. It is shown, with the help of a large number of Australian time series, that the nature of seasonality differs from one series to another, and this is why model selection is crucial for seasonal adjustment. It is further shown that model-based seasonal adjustment could produce results that are significantly different from those obtained by applying the X-11 procedure. Since the X-11 procedure is not based on an explicit model and in view of its other serious drawbacks, it is concluded that the procedure should be abandoned in favour of model-based seasonal adjustment.
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 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 AN ARIMA MODEL BASED APPROACH TO SEASONAL ADJUSTMENT written by S.C. HILLMER and published by . This book was released on 1980 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book On Model Based Seasonal Adjustment Procedures written by Jörg Breitung and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Seasonal Adjustment when Both Deterministic and Stochastic Seasonality are Present written by David A. Pierce and published by . This book was released on 1976 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Structural and Reduced form Approaches of ARIMA Model Based Seasonal Adjustment Methods written by Estela Bee Dagum and published by . This book was released on 1987 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Two strategies have been followed for the development of model-based seasonal adjustment methods. One, where each of the unobserved components, trend-cycle, seasonal and irregular is assumed to follow a normal stochastic process of the ARIMA class and the other, where the observed data are assumed to follow an ARIMA process and from it similar kind of models are derived for the components. The first approach is known as "structural" and the second, as the "reduced-form" given their similarities to the problems of identification of structures from the data in econometrics. This paper discusses the major properties and operational limitations of these two approaches. It also analyses the salient characteristics of the empirical comparisons made between model-based seasonal adjustment methods and the X-11-ARIMA which is used by the majority of government statistical agencies"--Abstract.
Download or read book An ARIMA model based Approach to Seasonal Adjustment written by S. C. Hillmer and published by . This book was released on 1982 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Seasonal Adjustment as a Practical Problem written by F. A. G. den Butter and published by North Holland. This book was released on 1991 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presented in this book is the theory and the practice of seasonal adjustment of economic series from the viewpoint of economic policy design. The book offers the economist and practical statistician the opportunity to acquire new and important analytical insights as well as practical tools. Moreover, it discusses the historical development of the practice of seasonal adjustment as applied for policy analysis with Persons in the early twenties, via Zaycoff and Mendershausen in the thirties, through present day modelling with the aid of Kalman filters. Each method treated is empirically illustrated while a comparative analysis is made to assess the appropriateness of the various methods.
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 Uncertainty in Model Based Seasonal Adjustment Procedures written by Mark W. Watson and published by . This book was released on 1984 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Selection of Models for the Automated X 11 Arima Seasonal Adjustment Program written by John Reginald Lothian and published by Seasonal Adjustment and Time Series Analysis Staff, Statistics Canada. This book was released on 1978 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Exact Algorithm for Computing the Model based Variance of Revisions in ARIMA model based Seasonal Adjustment written by and published by . This book was released on 2003 with total page 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 The X II ARIMA Seasonal Adjustment Method written by Estela Bee Dagum and published by Statistics Canada. This book was released on 1980 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Seasonal Adjustment Without Revisions written by Barend Abeln and published by Springer Nature. This book was released on 2023-02-13 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seasonality in economic time series can "obscure" movements of other components in a series that are operationally more important for economic and econometric analyses. In practice, one often prefers to work with seasonally adjusted data to assess the current state of the economy and its future course. This book presents a seasonal adjustment program called CAMPLET, an acronym of its tuning parameters, which consists of a simple adaptive procedure to extract the seasonal and the non-seasonal component from an observed series. Once this process is carried out, there will be no need to revise these components at a later stage when new observations become available. The authors describe the main features of CAMPLET, evaluate the outcomes of CAMPLET and X-13ARIMA-SEATS in a controlled simulation framework using a variety of data generating processes, and illustrate CAMPLET and X-13ARIMA-SEATS with three time series: US non-farm payroll employment, operational income of Ahold and real GDP in the Netherlands. Furthermore they show how CAMPLET performs under the COVID-19 crisis, and its attractiveness in dealing with daily data. This book appeals to scholars and students of econometrics and statistics, interested in the application of statistical methods for empirical economic modeling.
Download or read book A New Mixed Multiplicative additive Model for Seasonal Adjustment written by Stephanus Arz and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
