Seasonal adjustment perspectives on “Damping seasonal factors: shrinkage estimators for the X-12-ARIMA program”

Seasonal adjustment perspectives on “Damping seasonal factors: shrinkage estimators for the X-12-ARIMA program”

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Article ID: iaor20053377
Country: Netherlands
Volume: 20
Issue: 4
Start Page Number: 551
End Page Number: 556
Publication Date: Oct 2004
Journal: International Journal of Forecasting
Authors: , ,
Keywords: ARIMA processes, seasonality
Abstract:

We examined the shrinkage methods of Miller and William from the perspective of seasonal adjustment rather than forecasting, restricting attention to their performance on the approximately 500 of the 1428 M3 series that are seasonal and have multiplicative seasonality. Local shrinkage improved the quality of the seasonal adjustment of enough of these series that almost 50% have acceptable automatic X-12-ARIMA adjustments, instead of 40% with no shrinkage. For a few series, global shrinkage produced demonstrably incorrect results, and for some of these series and also others improved by local shrinkage, the SEATS seasonal adjustment provided by an experimental version of X-12-ARIMA offered still greater improvements. No benefits were observed from global shrinkage.

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