On a Family of Finite Moving-Average Trend Filters for the Ends of Series

Alistair G Gray and Peter J Thomson

Journal of Forecasting, 2002, vol. 21, issue 2, 125-49

Abstract: A family of finite end filters is constructed using a minimum revisions criterion and based on a local dynamic model operating within the span of a given finite central filter. These end filters are equivalent to evaluating the central filter with unavailable future observations replaced by constrained optimal linear predictions. Two prediction methods are considered: best linear unbiased prediction and best linear biased prediction where the bias is time invariant. The properties of these end filters are determined. In particular, they are compared to X-11 end filters and to the case where the central filter is evaluated with unavailable future observations predicted by global ARIMA models as in X-11-ARIMA or X-12-ARIMA. Copyright © 2002 by John Wiley & Sons, Ltd.

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:21:y:2002:i:2:p:125-49

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