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Seasonal Adjustment with the X-11 Method : Lecture Notes in Statistics - Dominique Ladiray

Seasonal Adjustment with the X-11 Method

Lecture Notes in Statistics

Paperback

Published: 10th January 2001
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The most widely used statistical method in seasonal adjustment is without doubt that implemented in the X-11 Variant of the Census Method II Seasonal Adjustment Program. Developed at the US Bureau of the Census in the 1950's and 1960's, this computer program has undergone numerous modifications and improvements, leading especially to the X-11-ARIMA software packages in 1975 and 1988 and X-12-ARIMA, the first beta version of which is dated 1998. While these software packages integrate, to varying degrees, parametric methods, and especially the ARIMA models popularized by Box and Jenkins, they remain in essence very close to the initial X-11 method, and it is this "core" that Seasonal Adjustment with the X-11 Method focuses on. With a Preface by Allan Young, the authors document the seasonal adjustment method implemented in the X-11 based software. It will be an important reference for government agencies, macroeconomists, and other serious users of economic data. After some historical notes, the authors outline the X-11 methodology. One chapter is devoted to the study of moving averages with an emphasis on those used by X-11. Readers will also find a complete example of seasonal adjustment, and have a detailed picture of all the calculations. The linear regression models used for trading-day effects and the process of detecting and correcting extreme values are studied in the example. The estimation of the Easter effect is dealt with in a separate chapter insofar as the models used in X-11-ARIMA and X-12-ARIMA are appreciably different. Dominique Ladiray is an Administrateur at the French Institut National de la Statistique et des Etudes Economiques. He is also a Professor at the Ecole Nationale de la Statistique et de l'Administration Economique, and at the Ecole Nationale de la Statistique et de l'Analyse de l'Information. He currently works on short-term economic analysis. Benoit Quenneville is a methodologist with Statistics Canada Time Series Research and Analysis Centre. He holds a Ph.D. from the University of Western Ontario. His research interests are in time series analysis with an emphasis on official statistics.

Preface
Introductionp. 1
Brief History of Seasonal Adjustmentp. 5
Outline of the X-11 Methodp. 13
Moving Averagesp. 23
The Various Tablesp. 51
Modelling of the Easter Effectp. 183
Referencesp. 215
Indexp. 221
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9780387951713
ISBN-10: 0387951717
Series: Lecture Notes in Statistics : Book 158
Audience: General
Format: Paperback
Language: English
Number Of Pages: 256
Published: 10th January 2001
Publisher: SPRINGER VERLAG GMBH
Country of Publication: US
Dimensions (cm): 23.57 x 15.65  x 1.42
Weight (kg): 0.36