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A GENERAL METHOD FOR ESTIMATING THE VARIANCES OF X‐11 SEASONALLY ADJUSTED ESTIMATORS
Author(s) -
Pfeffermann D.
Publication year - 1994
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/j.1467-9892.1994.tb00179.x
Subject(s) - estimator , mathematics , statistics , series (stratigraphy) , sampling (signal processing) , seasonal adjustment , population , econometrics , distribution (mathematics) , variable (mathematics) , computer science , paleontology , mathematical analysis , demography , filter (signal processing) , sociology , computer vision , biology
. The X‐11 procedure with its various variants is the commonly used procedure for seasonal adjustment throughout the world. A well‐known problem with the use of this procedure, however, is the estimation of the variances of its output such as, for example, the variances of the seasonally adjusted data or the month to month changes in these data. In this paper we propose a simple general procedure for estimating the variances of the X‐11 estimators. The variances account for the sampling distribution of the survey estimators around the corresponding population values and for the distribution of the component series included in the decomposition of the population values. The procedure is applicable to general sampling designs, including partially overlapping surveys. Empirical results illustrating the performance of the procedure when applied to simulated and real series are presented.