Calculating the Variance of Seasonally Adjusted Series
AbstractThis paper considers the use of the Kalam filter to perform the seasonal adjustment and to calculate the variance of the signal extraction error in model-based seasonal adjustment procedures. The steady-state filter covariance is seen to provide a convenient basis for obtaining the variances not only the current adjustment but also subsequent revisions. The method is applied to the unobserved-components model we have recently proposed as a justification of the X-11 method, and to a real economic time series.
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Bibliographic InfoPaper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 251.
Length: 28 pages
Date of creation: 1984
Date of revision:
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