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Spectral properties of the concurrent and forecasting seasonal linear filters of the X‐11‐ARIMA method
Author(s) -
Dagum Estela Bee
Publication year - 1983
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.2307/3314713
Subject(s) - autoregressive integrated moving average , extrapolation , seasonal adjustment , mathematics , set (abstract data type) , econometrics , statistics , flexibility (engineering) , time series , computer science , mathematical analysis , variable (mathematics) , programming language
This study analyzes the properties of the linear filters of the X‐11‐ARIMA seasonal adjustment method applied for current seasonal adjustment. It provides the general formula for the combined weights that result from the ARIMA model extrapolation filters with the X‐11 seasonal‐adjustment filters. The three cases studied correspond to the three ARIMA models automatically tested by the X‐11‐ARIMA program, namely, (0, 1, 1)(0, 1, 1), (0, 2, 2)(0, 1, 1), and (2, 1. 2)(0, 1,1). The parameter values chosen reflect different degrees of flexibility of the trend‐cycle and seasonal components. It is shown that the X‐11‐ARIMA linear filters for current seasonal adjustment are very flexible; they change with both the ARIMA extrapolation model and its parameter values, contrary to those of the X‐11 program, which are fixed for a given set of options.