This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Abstract Details

Activity Number: 495
Type: Invited
Date/Time: Wednesday, August 4, 2010 : 10:30 AM to 12:20 PM
Sponsor: Business and Economic Statistics Section
Abstract - #306235
Title: Characteristics of a Model-based Variance Measure for X-11 Seasonal Adjustment
Author(s): Stuart Scott*+ and Michail Sverchkov and Danny Pfeffermann
Companies: Bureau of Labor Statistics and Bureau of Labor Statistics and Hebrew University
Address: 5611 Lee Hwy, Arlington, VA, 22207,
Keywords: variance measure ; ARIMA model ; employment series
Abstract:

A model-based method due to Bell and Kramer (1999) and a moments-matching method due to Pfeffermann (1994) provide variance estimates for X-11 seasonally adjusted time series. An undesirable characteristic can arise when sampling error is large, relative to overall variability in the time series. Both empirical results and a detailed look at calculations for the model-based method help explain when this is likely to happen. The empirical results are based on a large-scale study of series from the Bureau of Labor Statistics' Current Employment Statistics program.


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