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The Effect of Forecast Quality on Seasonal Adjustment Revisions
The Effect of Forecast Quality on Seasonal Adjustment Revisions
Abstract
When data are available, the X-11 method uses symmetric moving average filters, utilizing the same amount of data before and after the point of interest. For the most relevant points at the end of the series, we have two options: use asymmetric filters or extend the series with forecasts and use "symmetric" filters where possible. At the U.S. Census Bureau, most economic series are extended with RegARIMA models that incorporate holiday and trading day effects. We apply symmetric filters (with forecasts) and asymmetric filters (without forecasts) to empirical data from series with large forecast errors to assess the revision size-effects.
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Page Last Revised - October 8, 2021
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