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The Effects of Asymmetric Filters on Seasonal Factor Revisions

 

作者: EstelaBee Dagum,  

 

期刊: Journal of the American Statistical Association  (Taylor Available online 1982)
卷期: Volume 77, issue 380  

页码: 732-738

 

ISSN:0162-1459

 

年代: 1982

 

DOI:10.1080/01621459.1982.10477878

 

出版商: Taylor & Francis Group

 

关键词: Seasonal adjustment revisions;ARIMA, X-11-ARIMA;Forecasting linear filters;Frequency response functions

 

数据来源: Taylor

 

摘要:

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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