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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