246 – Contributed Oral Poster Presentations: Business and Economic Statistics Section
The Effect of Forecasting on X-11 Adjustment Filters
Sponsor: Business and Economic Statistics Section
Keywords: Concurrent seasonal adjustment, regARIMA forecasting
Brian Monsell
U.S. Census Bureau
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.