Premium
Controlling Revisions in Arima‐Model‐Based Seasonal Adjustment
Author(s) -
PLANAS CHRISTOPHE,
DEPOUTOT RAOUL
Publication year - 2002
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/1467-9892.00262
Subject(s) - autoregressive integrated moving average , seasonal adjustment , mathematics , series (stratigraphy) , econometrics , signal (programming language) , interpretation (philosophy) , statistics , algorithm , computer science , time series , mathematical analysis , paleontology , variable (mathematics) , biology , programming language
The Statistical Office of the European Community (EUROSTAT) currently uses two different methods for seasonally adjusting macroeconomic indicators, through the implementations of the programs X‐12‐ARIMA (Findley et al ., 1998) and TRAMO‐SEATS (Gómez and Maravall, 1996). A major difference between the two methodologies is that X‐11 filters are of finite length while the signal extraction filters in TRAMO‐SEATS are infinite whenever the observed series model embodies a MA part. In this paper, we show how infinite seasonal adjustment filters can be optimally approximated by finite ones, and we apply this result to the problem of controlling the length of the revision period. We also show how considering finite versions of the signal extraction filters improves the interpretation of the X‐11 filters in the model‐based framework.