Design of Moving-Average Trend Filters Using Fidelity, Smoothness and Minimum Revisions Criteria

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Working Paper Number: RR96-01

Abstract

Many seasonal adjustment procedures decompose time series into trend, seasonal, irregular and other components using simple non-seasonal finite moving average trend filters. This report considers the design of such filters, both in the body and at the ends of series, based on specified criteria and simple dynamic models operating locally within the span of the filter.

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