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Calculating the Variance of Seasonally Adjusted Series

Peter Burridge () and Kenneth Wallis ()

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

Abstract: This paper considers the use of the Kalam filter to perform the seasonal adjustment and to calculate the variance of the signal extraction error in model-based seasonal adjustment procedures. The steady-state filter covariance is seen to provide a convenient basis for obtaining the variances not only the current adjustment but also subsequent revisions. The method is applied to the unobserved-components model we have recently proposed as a justification of the X-11 method, and to a real economic time series.

Date: 1984
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https://warwick.ac.uk/fac/soc/economics/research/w ... 78-1988/twerp251.pdf

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Working Paper: CALCULATING THE VARIANCE OF SEASONALLY ADJUSTED SERIES (1984) Downloads
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