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The Effect of Forecasting on X-11 Adjustment Filters
The Effect of Forecasting on X-11 Adjustment Filters
Abstract
This research looks into the effect of forecast extension on the overall seasonal adjustment filter. Weights for the overall adjustment filter were generated for series extended by forecasts of the airline model derived with different values of the nonseasonal and seasonal MA parameters. This paper will focus on the adjustment filter for the concurrent adjustment, which refers to the adjustment of the most recent observation in the series. Details on how the filters vary for length of forecast, choice of model parameters, and choice of seasonal filter are given.
Others in Series
Working Paper
Comparing X-12-ARIMA and Model-Based Seasonal Adjustment Filters
We suggest a different approach to comparing filters by computing the MSE when using an X-12-ARIMA filter for estimating the underlying seasonal component.
Working Paper
X-13ARIMA-SEATS and iMetrica
This paper will give the latest developments in two ongoing software projects.
Working Paper
Signal Extraction for Non-stationary Multivariate Time Series ...
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Page Last Revised - October 8, 2021
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