Abstract: For modelbased seasonal adjustment, there are explicit formulas for
obtaining the variance of the seasonal factors or the seasonally adjusted
series. For series adjusted with X11 or X12, variance estimates are
generally based on a linear approximation of the seasonal adjustment
procedure. The work of Pfeffermann (1992) extends earlier work by Wolter
and Monseur. This study uses simulated series and comparisons of alternative
seasonal adjustment results for a few economic series to assess the accuracy
of variance estimates. Pfeffermann's method gives good results when the true
seasonal is centered and follows a fairly smooth evolution from year to
year. Comparisons with formulabased computations and estimates from the
TramoSeats programs by Maravall and Gomez show the latter can give good
variance results for series adjusted with X11 even if the seasonal factors
themselves differ from X11 factors.
Keywords: Seasonal adjustment, signal extraction
Full paper (138 KB PDF)
 Full paper (123 KB Postscript)
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Last update: March 26, 2002
