Open Access

Estimation of Mean Squared Error of X-11-ARIMA and Other Estimators of Time Series Components


Cite

Bell, W.R. and M. Kramer. 1999. “Toward Variances for X-11 Seasonal Adjustments.” Survey Methodology 25: 13-29.Search in Google Scholar

Burck,L. andM. Sverchkov. 2001. “AGeneralMethod for Estimating theVariances of X-11- ARIMAEstimators.”FederalCommitteeonStatisticalMethodologyResearchConference 3: 1-11. November 14-16, 2001,Washington DC, U.S.A. Available at: http://fcsm.sites.usa.gov/files/2014/05/2001FCSM_Burck.pdf (accessed October 2014).Search in Google Scholar

Chen, Z.G., P. Wong, M. Morry, and H. Fung. 2003. Variance Estimation for X-11 Seasonal Adjustment Procedure: Spectrum Approach and Comparison. Statistics Canada (Report BSMD-2003-001E).Search in Google Scholar

Findley, D.F. and D.E.K. Martin. 2006. “Frequency Domain Diagnostics of SEATS and X-11/12-ARIMA Seasonal Adjustment Filters for Short and Moderate-Length Time Series.” Journal of Official Statistics 22: 1-34.Search in Google Scholar

Gómez, V. and A Maravall. 1996. Programs TRAMO and SEATS, Introduction for User (Beta Version). Banco de Espanã: Banco de Espanã Working Papers 9628.Search in Google Scholar

Harvey, A.C. 1989. Forecasting Structural Time Series With the Kalman Filter. Cambridge: Cambridge University Press.10.1017/CBO9781107049994Search in Google Scholar

Hilmer, S.C. and G.S. Tiao. 1982. “An ARIMA-Model-Based Approach to Seasonal Adjustment.” Journal of the American Statistical Association 77: 63-70. DOI: http://dx.doi.org/10.1080/01621459.1982.1047776710.1080/01621459.1982.10477767Search in Google Scholar

Pfeffermann, D. 1994. “A General Method for Estimating the Variances of X-11 Seasonally Adjusted Estimators.” Journal of Time Series Analysis 15: 85-116. DOI: http://dx.doi.org/10.1111/j.1467-9892.1994.tb00179.x10.1111/j.1467-9892.1994.tb00179.xSearch in Google Scholar

Pfeffermann, D., M. Morry, and P. Wong. 1995. “Estimation of the Variances of X-11 ARIMA Seasonally Adjusted Estimators for a Multiplicative Decomposition and Heteroscedastic Variances.” International Journal of Forecasting 11: 271-283. DOI: http://dx.doi.org/10.1016/0169-2070(94)00573-U10.1016/0169-2070(94)00573-USearch in Google Scholar

Pfeffermann, D. and S. Scott. 1997. “Variance Measures for X-11 Seasonally Adjusted Estimators: Some Developments with Application to Labor Force Series.” In Proceedings of the Section on Business & Economic Statistics: American Statistical Association, 211-216. August 10-14, 1997, Anaheim, California, U.S.A.Search in Google Scholar

Pfeffermann, D., M. Feder, and D. Signorelli. 1998. “Estimation of Auto-correlations of Survey Errors with Application to Trend Estimation in Small Areas.” Journal of Business and Economic Statistics 16: 339-348.Search in Google Scholar

Pfeffermann, D., S. Scott, and R. Tiller. 2000. “Comparison of Variance Measures for SeasonallyAdjusted andTrend Series.” InProceedings of the 2nd InternationalConference on Establishment Surveys, 755-764. June 17-21, 2000, Buffalo, New York, U.S.A.Search in Google Scholar

Pfeffermann, D. and R. Tiller. 2005. “Bootstrap Approximation to Prediction MSE for State-Space Models with Estimated Parameters.” Journal of Time Series Analysis 26: 893-916. DOI: http://dx.doi.org/10.1111/j.1467-9892.2005.00448.x10.1111/j.1467-9892.2005.00448.xSearch in Google Scholar

Scott, S., M. Sverchkov, and D. Pfeffermann. 2012. “Estimating Variance in X-11 Seasonal Adjustment.” In Economic Time Series: Modeling and Seasonality, edited by William R. Bell, Scott H. Holan, and Tucker S. McElroy, 185-210. London: Chapman and Hall.10.1201/b11823-12Search in Google Scholar

Tiller, R.B. 1992. “Time Series Modeling of Sample Survey Data from the U.S. Current Population Survey.” Journal of Official Statistics 8: 149-166.Search in Google Scholar

Tiller, R.B. 2012. “Frequency Domain Analysis of Seasonal Adjustment Filters Applied to Periodic Labor Force Survey Series.” In Economic Time Series: Modeling and Seasonality, edited by William R. Bell, H. Holan Scott, and Tucker S. McElroy, 135-158. London: Chapman and Hall.10.1201/b11823-9Search in Google Scholar

Wecker, W.E. 1979. “A New Approach to Seasonal Adjustment.” In Proceedings of the Section on Business and Economic Statistics: American Statistical Association, 322-323. August 13-16, 1979, Washington DC, U.S.A.Search in Google Scholar

X-13A-S Reference Manual, Version 0.1 (Beta). Time Series Staff, Statistical Research Division, Room 3000-4, U.S. Census Bureau, Washington, DC 20233-9100. Available at: https://www.google.com/?gws_rd=ssl#q=X-13-A-S+Reference+Manual%2c+Version+0.1+(Beta). Search in Google Scholar

eISSN:
2001-7367
Language:
English
Publication timeframe:
4 times per year
Journal Subjects:
Mathematics, Probability and Statistics