Implementation issues on shrinkage estimators for seasonal factors within X-11 seasonal adjustment method

Implementation issues on shrinkage estimators for seasonal factors within X-11 seasonal adjustment method

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Article ID: iaor20053378
Country: Netherlands
Volume: 20
Issue: 4
Start Page Number: 557
End Page Number: 560
Publication Date: Oct 2004
Journal: International Journal of Forecasting
Authors: ,
Keywords: seasonality, ARIMA processes
Abstract:

This commentary on Miller and Williams discusses how shrinkage can be implemented within X-12-ARIMA. We discuss how the seasonal factors are estimated in X12-ARIMA, how shrinkage can be translated into a moving average, if this is compatible with the philosophy behind the X12-ARIMA method, and suggest possible improvements.

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