Structural and reduced-form approaches of ARIMA model based seasonal adjustment methods: CS11-614/87-7E-PDF

"Two strategies have been followed for the development of model-based seasonal adjustment methods. One, where each of the unobserved components, trend-cycle, seasonal and irregular is assumed to follow a normal stochastic process of the ARIMA class and the other, where the observed data are assumed to follow an ARIMA process and from it similar kind of models are derived for the components. The first approach is known as "structural" and the second, as the "reduced-form" given their similarities to the problems of identification of structures from the data in econometrics. This paper discusses the major properties and operational limitations of these two approaches. It also analyses the salient characteristics of the empirical comparisons made between model-based seasonal adjustment methods and the X-11-ARIMA which is used by the majority of government statistical agencies"--Abstract.

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Department/Agency Statistics Canada. Methodology Branch.
Title Structural and reduced-form approaches of ARIMA model based seasonal adjustment methods
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-87-007E."
Date [1987].
Number of Pages 22 p.
Catalogue Number
  • CS11-614/87-7E-PDF
Departmental Catalogue Number 11-614E no. 87-07
Subject Terms Statistical analysis, Methodology