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Signal Extraction: How (In)efficient are Model-Based Approaches? An Empirical Study Based on TRAMO/SEATS and Census X-12-ARIMA

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    Abstract

    Estimation of signals at the current boundary of time series is an important task in many practical applications. In order to apply the symmetric filter at current time, model-based approaches typically rely on forecasts generated from a time series model in order to extend (stretch) the time series into the future. In this paper we analyze performances of concurrent filters based on TRAMO and X-12-ARIMA for business survey data and compare the results to a new effcient estimation method which does not rely on forecasts. It is shown that both model-based procedures are subject to heavy model misspeci.cation related to false unit root identification at frequency zero and at seasonal frequencies. Our results strongly suggest that the traditional modelbased approach should not be used for problems involving multi-step ahead forecasts such as e.g. the determination of concurrent filters.

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    File URL: http://www.kof.ethz.ch/publications/science/pdf/wp_96.pdf
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    Bibliographic Info

    Paper provided by KOF Swiss Economic Institute, ETH Zurich in its series KOF Working papers with number 04-96.

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    Length: 28 pages
    Date of creation: Dec 2004
    Date of revision:
    Handle: RePEc:kof:wpskof:04-96

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    Keywords: Signalextraction; concurrent filter; unit root; amplitude and time delay.;

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    1. Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521632423, April.
    2. Michael P. Clements & David F. Hendry, 2001. "Forecasting Non-Stationary Economic Time Series," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262531895, December.
    3. Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 127-52, April.
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