A GENERAL METHOD FOR ESTIMATING THE VARIANCES OF X‐11 SEASONALLY ADJUSTED ESTIMATORS

D. Pfeffermann

Journal of Time Series Analysis, 1994, vol. 15, issue 1, 85-116

Abstract: Abstract. 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.

Date: 1994
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