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Selected Papers from "Applied Time Series Analysis of Economic Data"

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Selected Papers from "Applied Time Series Analysis of Economic Data"

Introduction

Contents of Proceedings Volume
Download Contents of Proceedings Volume [PDF - <1.0 MB]

Work leading to currently used methods of seasonal adjustment began with the link-relative method of Persons (1919). His efforts motivated others in the 1920's and 1930's to consider the problem of seasonal adjustment. Macauley's (1931) development of the ratio-to-moving-average method was particularly important because it is the basis for the current Census X-11 method. Macauley and others borrowed the tool of moving averages from actuaries to smooth their data, rather than fit explicit functions to the data, because they felt that the trend and cycle components varied smoothly over time but they were, "... not necessarily representable throughout their length by any simple mathematical equation".

.pdf Models for X-11 and X-11 Forecast Procedures for Preliminary and Revised Seasonal Adjustments [1.8 MB]
.pdf Comparative Study of the X-11 and BAYSEA Procedures of Seasonal Adjustment [2.2 MB]
.pdf Modeling Time Series When Calendar Effects Are Present [1.8 MB]
.pdf Modeling Considerations in the Seasonal Adjustment of Economic Time Series [3.3 MB]

Others in Series

Working Paper
Estimating Trading-Day Variation in Monthly Economic Time Series
1965
An important source of the month-to-month variation in many monthly economic time series is trading-day variation.
Working Paper
Seasonal Analysis of Economic Time Series
1978
Given a basic stochastic seasonal time series model, developed by Box and Jenkins, the corresponding model for temporal aggregates is derived.
Working Paper
Ambiguities Associated with the Fitting of ARMA Models to Time Series
1984
Examples are presented illustrating some ambiguities associated with the application of ARMA models.
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Page Last Revised - October 8, 2021
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