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 - #306235 |
Title:
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Characteristics of a Model-based Variance Measure for X-11 Seasonal Adjustment
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Author(s):
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Stuart Scott*+ and Michail Sverchkov and Danny Pfeffermann
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Companies:
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Bureau of Labor Statistics and Bureau of Labor Statistics and Hebrew University
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Address:
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5611 Lee Hwy, Arlington, VA, 22207,
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Keywords:
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variance measure ;
ARIMA model ;
employment series
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Abstract:
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A model-based method due to Bell and Kramer (1999) and a moments-matching method due to Pfeffermann (1994) provide variance estimates for X-11 seasonally adjusted time series. An undesirable characteristic can arise when sampling error is large, relative to overall variability in the time series. Both empirical results and a detailed look at calculations for the model-based method help explain when this is likely to happen. The empirical results are based on a large-scale study of series from the Bureau of Labor Statistics' Current Employment Statistics program.
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