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The Impact Of Different Rotation Patterns On The Sampling Variance Of Seasonally Adjusted And Trend Estimates, Craig Mclaren, David Steel
The Impact Of Different Rotation Patterns On The Sampling Variance Of Seasonally Adjusted And Trend Estimates, Craig Mclaren, David Steel
Professor David Steel
Many economic and social time series are based on sample surveys which have complex sample designs. The sample design affects the properties of the time series. In particular, the overlap of the sample from period to period affects the variability of the time series of survey estimates, and the seasonally adjusted and trend estimates produced from them. The Census X11 and X11ARIMA packages are commonly used to produce seasonally adjusted estimates and can also be used to produce estimates of trend. This paper considers the implications of different overlap patterns on the sampling variance of seasonally adjusted and trend estimates …
The Effect Of Different Rotation Patterns On The Revisions Of Trend Estimates, David G. Steel, Craig H. Mclaren
The Effect Of Different Rotation Patterns On The Revisions Of Trend Estimates, David G. Steel, Craig H. Mclaren
Professor David Steel
The X11 and X11ARIMA procedures are widely used to produce seasonally adjusted and trend estimates from time series obtained from sample surveys. The surveys are often based on designs in which there is sample overlap between different periods. The degree of overlap is determined by the pattern of inclusion of selected units over time, i.e., the rotation pattern. An important issue in analysing the series is that trend estimates at the end of the series are revised as estimates for recent periods are added. This article considers the effects of different rotation patterns on the mean squared error of the …