Unobserved-Components Models for Seasonal Adjustment Filters

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Unobserved-Components Models for Seasonal Adjustment Filters

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Burridge, Peter
Wallis, Kenneth F

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Abstract

Time series models are presented for which the seasonal component estimates delivered by linear least squares signal extraction closely approximate those of the standard option of the widely-used Cencus X-11 program. Earlier work is extended by consideration of a broader class of models and by examination of asymmetric filters in addition to the symmetric filter implicit in the adjustment of historical data. Various criteria that guide the specification of unobserved-component models are discussed, and a new preferred model is presented. Other models generate filters that approximate X-11 rather well, explaining the wide acceptance of the X-11 method.

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Publisher Info
Paper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 244.

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Length: 27 pages
Date of creation: 1983
Date of revision:
Handle: RePEc:wrk:warwec:244

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Article
- Burridge, Peter & Wallis, Kenneth F, 1984. "Unobserved-Components Models for Seasonal Adjustment Filters," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 350-59, October.

Cited by:
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Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?," CIRANO Working Papers 95s-19, CIRANO. [Downloadable!]
Other versions:
- Ghysels, E. & Granger, C.W.J. & Siklos, P.L., 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process," Cahiers de recherche 9517, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
- Ghysels, E. & Granger, C.W.J. & Siklos, P.L., 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process," Cahiers de recherche 9517, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ghysels, Eric & Granger, Clive W J & Siklos, Pierre L, 1996. "Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 374-86, July.
Regina Kaiser & Agustín Maravall, 2000. "Notes on Time Series Analysis, ARIMA Models and Signal Extraction," Banco de EspaÃ±a Working Papers 0012, Banco de España. [Downloadable!]
Antonio Matas-Mir & Denise R. Osborn & Marco J. Lombardi, 2008. "The effect of seasonal adjustment on the properties of business cycle regimes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 257-278. [Downloadable!]
Other versions:
- Antonio Matas-Mir & Denise R. Osborn & Marco Lombardi, 2005. "The Effect of Seasonal Adjustment on the Properties of Business Cycle Regimes," Econometrics Working Papers Archive wp2005_15, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
Neil R. Ericsson & David F. Hendry & Hong-Anh Tran, 1993. "Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom," International Finance Discussion Papers 457, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
Paulo M. M. Rodrigues, Denise R. Osborn, 1999. "Performance of seasonal unit root tests for monthly data," Journal of Applied Statistics, Taylor and Francis Journals, vol. 26(8), pages 985-1004, December. [Downloadable!] (restricted)
Antonio Matas Mir & Denise R Osborn, 2004. "Seasonal adjustment and the detection of business cycle phases," Working Paper Series 357, European Central Bank. [Downloadable!]
Other versions:
- A Matas-Mir & D R Osborn, 2003. "Seasonal Adjustment and the Detection of Business Cycle Phases," Centre for Growth and Business Cycle Research Discussion Paper Series 26, Economics, The Univeristy of Manchester. [Downloadable!]
- A Matas-Mir & D R Osborn, 2003. "Seasonal Adjustment and the Detection of Business Cycle Phases," The School of Economics Discussion Paper Series 0304, Economics, The University of Manchester. [Downloadable!]
Tomas del Barrio Castro & Denise R. Osborn, 2006. "A Random Walk through Seasonal Adjustment: Noninvertible Moving Averages and Unit Root Tests," The School of Economics Discussion Paper Series 0612, Economics, The University of Manchester. [Downloadable!]

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