<abstract xmlns="http://www.w3.org/1999/xhtml"><p> Bell (2012) catalogued unit root factors contained in linear filters used in seasonal adjustment (model-based or from the X-11 method) but noted that, for model-based seasonal adjustment, special cases could arise where filters could contain more unit root factors than was indicated by the general results. This article reviews some special cases that occur with canonical ARIMA model based adjustment in which, with some commonly used ARIMA models, the symmetric seasonal filters contain two extra nonseasonal differences (i.e., they include an extra (1 - B)(1 - F)). This increases by two the degree of polynomials in time that are annihilated by the seasonal filter and reproduced by the seasonal adjustment filter. Other results for canonical ARIMA adjustment that are reported in Bell (2012), including properties of the trend and irregular filters, and properties of the asymmetric and finite filters, are unaltered in these special cases. Special cases for seasonal adjustment with structural ARIMA component models are also briefly discussed.</p></abstract>

Bell (2012) catalogued unit root factors contained in linear filters used in seasonal adjustment (model-based or from the X-11 method) but noted that, for model-based seasonal adjustment, special cases could arise where filters could contain more unit root factors than was indicated by the general results. This article reviews some special cases that occur with canonical ARIMA model based adjustment in which, with some commonly used ARIMA models, the symmetric seasonal filters contain two extra nonseasonal differences (i.e., they include an extra (1 - B)(1 - F)). This increases by two the degree of polynomials in time that are annihilated by the seasonal filter and reproduced by the seasonal adjustment filter. Other results for canonical ARIMA adjustment that are reported in Bell (2012), including properties of the trend and irregular filters, and properties of the asymmetric and finite filters, are unaltered in these special cases. Special cases for seasonal adjustment with structural ARIMA component models are also briefly discussed.

Unit Root Properties of Seasonal Adjustment and Related Filters: Special Cases

U.S. Census Bureau, Washington, DC 20233,

Journal of Official Statistics

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

{"article-title":"Unit Root Properties of Seasonal Adjustment and Related Filters: Special Cases"}

Bell (2012) catalogued unit root factors contained in linear filters used in seasonal adjustment (model-based or from the X-11 method) but noted that, for...

Unit Root Properties of Seasonal Adjustment and Related Filters: Special Cases

Publié en ligne: 21 févr. 2017

Pages: 1 - 14

Reçu: 01 juin 2015

Accepté: 01 oct. 2016

DOI: https://doi.org/10.1515/jos-2017-0001

Mots clés
time series, linear filter, ARIMA model-based seasonal adjustment, canonical decomposition

© by William.R. Bell

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Unit Root Properties of Seasonal Adjustment and Related Filters: Special Cases

Publié en ligne: 21 févr. 2017

Pages: 1 - 14

Reçu: 01 juin 2015

Accepté: 01 oct. 2016

DOI: https://doi.org/10.1515/jos-2017-0001

Mots cléstime series, linear filter, ARIMA model-based seasonal adjustment, canonical decomposition

© by William.R. Bell

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Mots clés
time series, linear filter, ARIMA model-based seasonal adjustment, canonical decomposition