EconPapers    
Economics at your fingertips  
 

Unobserved-Components Models for Seasonal Adjustment Filters

Peter Burridge () and Kenneth Wallis ()

The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics

Abstract: Time series models are presented for which the seasonal component estimates delivered by linear least squares signal extraction closely approximate those of the standard option of the widely-used Cencus X-11 program. Earlier work is extended by consideration of a broader class of models and by examination of asymmetric filters in addition to the symmetric filter implicit in the adjustment of historical data. Various criteria that guide the specification of unobserved-component models are discussed, and a new preferred model is presented. Other models generate filters that approximate X-11 rather well, explaining the wide acceptance of the X-11 method.

Keywords: time series : seasonal adjustment; signal extraction; X-11 method; unobserved-components models; ARIMA models (search for similar items in EconPapers)
Date: 1983
References: Add references at CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
https://warwick.ac.uk/fac/soc/economics/research/w ... 78-1988/twerp244.pdf

Related works:
Journal Article: Unobserved-Components Models for Seasonal Adjustment Filters (1984)
Working Paper: UNOBSERVED-COMPONENTS MODELS FOR SEASONAL ADJUSTMENT FILTERS (1983) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wrk:warwec:244

Access Statistics for this paper

More papers in The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Margaret Nash ().

 
Page updated 2019-06-05
Handle: RePEc:wrk:warwec:244