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Activity Number:
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510
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Type:
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Topic Contributed
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Date/Time:
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Wednesday, August 5, 2009 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #304038 |
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Title:
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On X11 Seasonal Adjustment and Estimation of Its MSE
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Author(s):
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Michail Sverchkov*+ and Stuart Scott and Danny Pfeffermann
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Companies:
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BAE Systems IT/Bureau of Labor Statistics and Bureau of Labor Statistics and Hebrew University/University of Southampton
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Address:
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2 Massachusetts Ave., NE, Suite 1950, Washington, DC, 20212,
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Keywords:
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decomposition model ; bias correction ; mean square error
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Abstract:
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Most official seasonal adjustments are based on the X-11 method and its extensions. An important problem with this method is how to estimate MSE when estimating the seasonal effects and other components. Wolter and Monsour (1981) proposed an approach for variance estimation that uses the linear approximation to X-11 and accounts for the effect of sampling errors. Pfeffermann (1994) and Bell and Kramer (1999) extend this approach. In this paper we show that the seasonal and trend components can be defined in such a way that (1) the X-11 estimators of these components are almost unbiased at the center of the series, (2) the Pfeffermann (1994) method produces unbiased estimators for the MSE of the X-11 estimators at the center of the series, (3) we propose bias corrections for the MSE estimates at the two ends of the series. We present similar results for Bell and Kramer (1999) method.
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