Abstract
Obtaining measures of uncertainty for seasonal adjustment is a long-standing problem (President’s Committee to Appraise Employment and Unemployment statistics, 1962). Wolter and Monsour (1981) propose two variance measures for X-11 seasonal adjustment that account for sampling error (SE), one better suited for the typical case of nonstationary time series. Pfeffermann (1994) and Bell and Kramer (1999) develop measures capturing additional uncertainty. Pfeffermann, Morry, and Wong (1995) apply the Pfeffermann method with ARIMA (autoregressive-integrated-moving average) extrapolation and the multiplicative mode of adjustment. Pfeffermann and Scott (1997) further K12089 Chapter: 8 page: 185 date: February 14, 2012 K12089 Chapter: 8 page: 186 date: February 14, 2012 Modeling and extend the method by proposing modifications that use all the X-11 irregular terms, not just the central ones, and simplify the equations for estimating the error variances when SE autocovariances are available. Scott, Sverchkov, and Pfeffermann (2005) treat month-to-month change where the series are similar to many index series.
| Original language | English |
|---|---|
| Title of host publication | Economic Time Series |
| Subtitle of host publication | Modeling and Seasonality |
| Publisher | CRC Press |
| Pages | 185-210 |
| Number of pages | 26 |
| ISBN (Electronic) | 9781439846582 |
| ISBN (Print) | 9781439846575 |
| DOIs | |
| State | Published - 1 Jan 2012 |
Bibliographical note
Publisher Copyright:© 2012 by Taylor & Francis Group, LLC.