---Empirical Evaluation of X-11 and Model-based Seasonal Adjustment Methods
---Empirical Evaluation of X-11 and Model-based Seasonal Adjustment Methods
复制标题
---X-11和基于模型的季节调整方法的实证评估
DOI：
--
复制
发表时间：
2007
期刊：
影响因子：
--
通讯作者：
Stuart Scott
中科院分区：
文献类型：
--
作者：
R. Tiller;Daniel Chow;Stuart Scott
三十多年来，X11一直是美国劳工统计局（BLS）用于对时间序列进行季节性调整的标准方法。近年来，基于模型的方法作为一种替代方法逐渐受到青睐。本研究对劳工统计局生成的82个序列的X - 11方法和基于模型的季节性调整进行了比较。我们使用“X - 11”来指代由希斯金等人（1967年）开发，并在增强版X - 12 ARIMA（芬德利等人，1998年）中实施的季节性调整方法。我们使用的基于模型的方法被称为SEATS（ARIMA时间序列的信号提取），最初由西班牙银行实施（戈麦斯和马尔瓦尔，1997年）。本文是基于劳工统计局进行的一项更大规模的研究（斯科特、蒂勒和周，2007年）撰写的，该研究旨在评估SEATS作为X11潜在补充方法的可行性。
For over three decades X11 has been the standard approach used to seasonally adjust time series at the Bureau of the Labor Statistics (BLS). In recent years the model based approach has gained ground as an alternative approach. This study compares X-11 and model-based seasonal adjustments for 82 series produced by the BLS. We use “X-11” to refer to the seasonal adjustment method developed by Shiskin et. al ( 1967) as implemented in the enhanced version X-12 ARIMA (Findley et. al., 1998). The model based approach we use is known as SEATS (Signal Extraction of ARIMA Time Series), originally implemented by the Bank of Spain (Gomez and Marvall, 1997). This paper was developed from a larger study conducted at BLS (Scott, Tiller, and Chow, 2007) to evaluate SEATS as a potential supplement to X11.