Controlling Revisions in Arima‐Model‐Based Seasonal Adjustment
Christophe Planas () and
Journal of Time Series Analysis, 2002, vol. 23, issue 2, 193-213
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.
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:23:y:2002:i:2:p:193-213
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782
Access Statistics for this article
Journal of Time Series Analysis is currently edited by M.B. Priestley
More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().