Analysis of revisions in the seasonal adjustment of data using X-11-ARIMA model-based filters / by Guy Huot ... [et al.]. : 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.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.837950&sl=1
| Ministère/Organisme | Canada. Statistics Canada. Methodology Branch. |
|---|---|
| Titre | Analysis of revisions in the seasonal adjustment of data using X-11-ARIMA model-based filters / by Guy Huot ... [et al.]. |
| Titre de la série | Working paper ; 85-43 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | 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." Includes bibliographic references. |
| Information sur la publication | [Ottawa] : Statistics Canada, [1985]. |
| Auteur / Contributeur | Huot, Guy. |
| Description | 27 p. |
| Numéro de catalogue |
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| Numéro de catalogue du ministère | 11-614E |
| Descripteurs | Methodology Statistical analysis |