|
Activity Number:
|
407
|
|
Type:
|
Contributed
|
|
Date/Time:
|
Thursday, August 15, 2002 : 10:30 AM to 12:20 PM
|
|
Sponsor:
|
Business & Economics Statistics Section*
|
| Abstract - #301874 |
|
Title:
|
Estimated Variance of Seasonally Adjusted Series
|
|
Author(s):
|
William Cleveland*+
|
|
Affiliation(s):
|
Federal Reserve Board
|
|
Address:
|
20th at Constitution NW, Washington, District of Columbia, 20551, USA
|
|
Keywords:
|
signal extraction ; seasonal adjustment
|
|
Abstract:
|
For model-based seasonal adjustment, there are explicit formulas for obtaining the variance of the seasonal factors or the seasonally adjusted series. For series adjusted with X-11 or X-12, variance estimates are generally based on a linear approximation of the seasonal adjustment procedure. The work of Pfeffermann (1992) extends earlier work by Monseur. This study uses simulated series and comparisons of alternative seasonal adjustment results for a few economic series to assess the accuracy of variance estimates. Pfeffermann's method gives good results when the true seasonal is centered and follows a fairly smooth evolution from year to year. Comparisons with formula-based computations and estimates from the Tramo-Seats programs by Maravall and Gomez show the latter can give good variance results for series adjusted with X-11 even if the seasonal factors themselves differ from X-11 factors.
|
- 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 2002 program |
