The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.
Abstract Details
Activity Number:
|
246
|
Type:
|
Contributed
|
Date/Time:
|
Monday, August 1, 2011 : 2:00 PM to 3:50 PM
|
Sponsor:
|
Business and Economic Statistics Section
|
Abstract - #302819 |
Title:
|
Unit Root Properties Of Seasonal Adjustment And Related Filters
|
Author(s):
|
William Robert Bell*+
|
Companies:
|
U.S. Census Bureau
|
Address:
|
4600 SIlver Hill Road, Washington, DC, 20233,
|
Keywords:
|
differencing ;
trend ;
polynomial ;
fixed seasonal effects ;
linear filter
|
Abstract:
|
Linear filters used in seasonal adjustment (model-based or from the X-11 method) contain unit root factors in the form of differencing operators and seasonal summation operators. The extent to which the various filters (seasonal, seasonal adjustment, trend, and irregular) contain these unit root factors determines whether the filters reproduce or annihilate (i) fixed seasonal effects, and (ii) polynomial functions of time. This paper catalogs which unit root factors are contained by the various filters for the most common approaches to model-based seasonal adjustment, and for X-11 seasonal adjustment with or without forecast extension. Both symmetric and asymmetric filters are considered.
|
The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
Back to the full JSM 2011 program
|
2011 JSM Online Program Home
For information, contact jsm@amstat.org or phone (888) 231-3473.
If you have questions about the Continuing Education program, please contact the Education Department.