Abstract #300591

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JSM 2003 Abstract #300591
Activity Number: 75
Type: Topic Contributed
Date/Time: Monday, August 4, 2003 : 8:30 AM to 10:20 AM
Sponsor: Business & Economics Statistics Section
Abstract - #300591
Title: Evaluation of Two Variance Methods for X-11 Seasonally Adjusted Series
Author(s): Stuart Scott*+ and Daniel Pfeffermann
Companies: Bureau of Labor Statistics and The Hebrew University of Jerusalem
Address: 5611 Lee Highway, Arlington, VA, 22207-1423,
Keywords: sampling error ; ARIMA models
Abstract:

Pfeffermann (1994) and Bell & Kramer (1999) have proposed solutions to the long-standing problem of estimating the variance of X-11 seasonally adjusted series. The starting point is a decomposition of the observed series into trend, seasonal, irregular, and sampling error components. The Bell-Kramer method relies on models for the sampling error and the overall series. The Pfeffermann method makes more extensive use of the data and X-11 results, and is assisted by having a model for the sampling error. In addition, the variances are defined and calculated differently. A simulation experiment is carried out to evaluate performance of the methods, including a comparison of the underlying variance definitions. The models used in the simulation are based on a labor force series from the U.S. Current Population Survey for which sampling error information is available.

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