Analysis of revisions in the seasonal adjustment of data using X-11-ARIMA model-based filters: CS11-614/85-43E-PDF

"Concurrent seasonally adjusted values are subject to revision when more data become available. This study attempts to analyse the total revision associated with the concurrent seasonal filter for the X-11-ARIMA seasonal adjustment method. The total revision is defined as the mean-squared difference between the frequency response functions of the central and concurrent filters at certain frequencies. Four ARIMA models are considered which are used in the construction of the filter weights. We determine total revision for different forecast horizons and different ARIMA parameter values. Then we evaluate for different forecast horizons the sensitivity of total revision to change in model parameter values"--Abstract.

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Department/Agency Statistics Canada. Methodology Branch.
Title Analysis of revisions in the seasonal adjustment of data using X-11-ARIMA model-based filters
Series Title Working paper ;
Publication Type Series - View Master Record
Language [English]
Format Electronic
Electronic Document

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Note Digitized edition from print [produced by Statistics Canada]. "Working Paper TSRA-85-043E." "Invited Paper for presentation to the Fifth International Symposium on Forecasting, Montreal, June 9-12."
Date [1985].
Number of Pages 27 p.
Catalogue Number
  • CS11-614/85-43E-PDF
Departmental Catalogue Number 11-614E
Subject Terms Methodology, Statistical analysis