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Applications: The Surrogate Henderson Filters in X‐11
Author(s) -
Doherty Mike
Publication year - 2001
Publication title -
australian and new zealand journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 1369-1473
DOI - 10.1111/1467-842x.00187
Subject(s) - interpretation (philosophy) , mathematics , relevance (law) , work (physics) , econometrics , series (stratigraphy) , current (fluid) , statistics , algorithm , computer science , engineering , law , mechanical engineering , paleontology , electrical engineering , political science , biology , programming language
This paper explains the surrogate Henderson filters that are used in the X‐11 variant of the Census Method II seasonal adjustment program to obtain trends at the ends of time series. It describes a prediction interpretation for these surrogate filters, justifies an approximation to the filters, proposed by Kenny & Durbin (1982), and proposes a further interpretation of the results. The starting point for the paper is unpublished work by Musgrave (1964a, 1964b). His work has continuing relevance to current seasonal adjustment practice. This paper makes that work generally available for the first time, and reviews and extends it.