A study on the autocorrelation of residuals from the X11ARIMA method: CS11-614/89-14E-PDF

"The problem of autocorrelation in the residuals of X11ARIMA has raised many controversial discussions. This paper shows that the presence of significant autocorrelated values, particularly, at lag one and at the lag associated with the seasonal variations is mainly due to the blind use of the standard option. The autocorrelation disappears when the appropriate options available in X11ARIMA are used"--Abstract.

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Department/Agency Statistics Canada. Methodology Branch.
Title A study on the autocorrelation of residuals from the X11ARIMA method
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 No. TSRA-89-014E." "September 1989."
Date 1989.
Number of Pages 16 p.
Catalogue Number
  • CS11-614/89-14E-PDF
Departmental Catalogue Number 11-614E
Subject Terms Methodology, Statistical analysis