Estimation of the variances of X-11 ARIMA seasonally adjusted estimators for a multiplicative decomposition and heteroscedastic variances

Danny Pfeffermann*, Marietta Morry, Paul Wong

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

12 Scopus citations

Abstract

Extensions of a method proposed by Pfeffermann (1993, J. Time Series Analysis, 15, 85-116) for estimating the variances of X-11 ARIMA estimators are considered. The extensions include the use of a multiplicative decomposition and the allowance for changes in the variances and covariances of the error terms. We also examine how the variances of the seasonally adjusted estimators are affected by the identification and estimation of ARIMA models used for extrapolating the original series and by the identification and gradual replacement of extreme observations.

Original languageEnglish
Pages (from-to)271-283
Number of pages13
JournalInternational Journal of Forecasting
Volume11
Issue number2
DOIs
StatePublished - Jun 1995

Keywords

  • Multiplicative decomposition
  • Seasonal adjustment
  • Survey errors

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