Abstract Details
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Activity Number:
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246
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Type:
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Contributed
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Date/Time:
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Monday, August 4, 2014 : 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 #311643
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Title:
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The Effect of Forecasting on X-11 Adjustment Filters
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Author(s):
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Brian Monsell*+
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Companies:
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U.S. Census Bureau
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Keywords:
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Concurrent seasonal adjustment ;
regARIMA forecasting
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Abstract:
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This research looks into what effect forecast extension has on the overall seasonal adjustment filter. Weights for the overall adjustment and trend filter are generated for series extended by forecasts of the airline model derived with different values of the nonseasonal and seasonal MA parameters. This paper will mainly focus on the adjustment filter for the concurrent adjustment, which refers to the adjustment of the most recent observation in the series. Details on how the filters vary for length of forecast, choice of model parameters, and choice of seasonal filter are given.
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Authors who are presenting talks have a * after their name.
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