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Unobserved-Components Models for Seasonal Adjustment Filters

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  • Burridge, Peter
  • Wallis, Kenneth F

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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Bibliographic 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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Keywords: time series : seasonal adjustment ; signal extraction ; X-11 method ; unobserved-components models ; ARIMA models;

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Cited by:
  1. 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.
  2. 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.).
  3. Osborn, Denise R. & Heravi, Saeed & Birchenhall, C. R., 1999. "Seasonal unit roots and forecasts of two-digit European industrial production," International Journal of Forecasting, Elsevier, vol. 15(1), pages 27-47, February.
  4. Kaiser, Regina & Maravall, Agustin, 2005. "Combining filter design with model-based filtering (with an application to business-cycle estimation)," International Journal of Forecasting, Elsevier, vol. 21(4), pages 691-710.
  5. Huang, Tai-Hsin & Shen, Chung-Hua, 2002. "Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand," Journal of Econometrics, Elsevier, vol. 111(1), pages 11-46, November.
  6. 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.
  7. 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.
  8. Álvarez, Luis Julián & Delrieu, Juan C. & Espasa, Antoni, . "Aproximación lineal por tramos a comportamientos no lineales: estimación de señales de nivel y crecimiento," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/2940, Universidad Carlos III de Madrid.
  9. Regina Kaiser & Agustín Maravall, 2000. "Notes on Time Series Analysis, ARIMA Models and Signal Extraction," Banco de España Working Papers 0012, Banco de España.
  10. 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.
  11. Paulo Rodrigues & Denise 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.

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