Official websites use .gov
A .gov website belongs to an official government organization in the United States.
Secure .gov websites use HTTPS
A lock (
) or https:// means you’ve safely connected to the .gov website. Share sensitive information only on official, secure websites.
Topics
Data & Maps
Surveys & Programs
Resource Library
Seasonal Heteroskedasticity in Census Bureau Construction Series
Seasonal Heteroskedasticity in Census Bureau Construction Series
Abstract
Seasonal heteroskedasticity exists in a number of monthly time series from major statistical agencies. Accounting for such variation in calendar month effects can be important in estimating seasonal and trend movements. In the context of seasonal adjustment, the standard procedure uses nonparametric (X-11) filters of different lengths in the signal extraction routine of X-12-ARIMA. This serves as a simple, pragmatic procedure that is, however, limited in its ability to adapt to different datasets. In this paper I extend the model-based methodology introduced recently by Proietti (2004) and Bell (2004). I discuss different forms of the seasonal specific model, showing examples of estimation and analysis of trend and seasonal components. A statistical test for seasonal heteroskedasticity is presented and applied to a number of Census Bureau series on housing starts and building permits. It is shown how seasonal noise can be separated from nonsystematic noise and included in the seasonal adjustment of a time series.
Others in Series
Working Paper
Toward X-13?
This paper will deal with two areas of development for the X-12-ARIMA seasonal adjustment package.
Working Paper
Diagnostics for Model-Based Seasonal Adjustment
In this paper, we try to identify promising diagnostics for model-based seasonal adjustment.
Working Paper
Model Estimation, Prediction, and Signal Extraction
A practical problem for statistical agencies and banks that publish economic data is the seasonal adjustment of mixed frequency stock and flow time series.
Related Information
Page Last Revised - October 8, 2021
✕
Is this page helpful?
Yes
No
Yes
No✕
NO THANKS
255 characters maximum
255 characters maximum reached
255 characters maximum reached
✕
Thank you for your feedback.
Comments or suggestions?
Comments or suggestions?
