Seasonal Adjustment with the X-11 Method (Paperback, Softcover reprint of the original 1st ed. 2001)

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. Benoît 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.

General

Imprint:	Springer-Verlag New York
Country of origin:	United States
Series:	Lecture Notes in Statistics, 158
Release date:	2001
First published:	2001
Authors:	Dominique Ladiray • Benoit Quenneville
Dimensions:	235 x 155 x 19mm (L x W x T)
Format:	Paperback
Pages:	256
Edition:	Softcover reprint of the original 1st ed. 2001
ISBN-13:	978-0-387-95171-3
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Business & Economics > Economics > Econometrics > Economic statistics Books > Computing & IT > Computer software packages > Other software packages > Mathematical & statistical software Promotions
LSN:	0-387-95171-7
Barcode:	9780387951713

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