This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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495
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Type:
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Invited
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Date/Time:
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Wednesday, August 4, 2010 : 10:30 AM to 12:20 PM
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Sponsor:
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Business and Economic Statistics Section
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Abstract - #306142 |
Title:
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Seasonal Adjustment to Facilitate Forecasting: Empirical Results
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Author(s):
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William R. Bell*+ and Ekaterina Sotiris
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Companies:
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U.S. Census Bureau and U.S. Census Bureau
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Address:
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SRD, Room 5K142A, Washington, DC, 20233,
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Keywords:
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X-11 seasonal adjustment ;
ARIMA model-based seasonal adjustment ;
seasonal adjustment revision ;
trend estimation
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Abstract:
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In this paper we consider how well seasonal adjustment methods (X-11 and ARIMA model-based), and certain of their variations, satisfy one objective of seasonal adjustment: facilitating short-term forecasting of nonseasonal movements in time series. We do this via an empirical study using a number of seasonal time series of major U.S. economic aggregates. For these series we examine how forecast accuracy is affected by the following choices: (1) alternative choices of simple models for forecasting the seasonally adjusted series (or trend estimates); (2) use of seasonally adjusted series versus trend estimates; (3) use of time series of unrevised versus time series of revised seasonally adjusted data; (4) use of X-11 versus ARIMA model-based adjustment; and (5) use of seasonally adjusted data in forecasting versus directly forecasting the unadjusted series.
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