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On X-11 Seasonal Adjustment and Estimation of its MSE: Application to Current Employment Statistics (CES) Employment Series

Keywords: Bias correction, Conditional Mean-Square error, Seasonal Adjustment

Most official seasonal adjustments are based on the X-11 method and its extensions. An important problem with the use of this method is how to estimate the mean square error (MSE) of the estimators of the seasonal effects and other components. Sverchkov et al. (2011) proposed an approach for MSE estimation that uses the linear approximation to X-11. Sverchkov et al. (2011) showed that the seasonal and trend components can be defined in such a way that the X-11 estimators of these components are almost unbiased at the center of the series, and they proposed an approach for bias corrections for the MSE estimates at the ends of the series.

The present paper applies the suggested estimators to CES employment series.