Measures of Variability for Model-Based Seasonal Adjustment Procedures |
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| Authors: | Steven C Hillmer |
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| Institution: | School of Business, University of Kansas , Lawrence , KS , 66045 |
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| Abstract: | An algorithm is derived that develops measures of variability for the estimates of the nonseasonal component computed from a model-based seasonal adjustment procedure. The measures of variability are developed from signal extraction theory. Properties of components of the variance are developed, and the behavior of the variance is investigated for one popular time series model. The results are illustrated by using real data. |
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| Keywords: | Seasonal adjustment Confidence interval Variability Nonseasonal component Model-based seasonal adjustment ARIMA models |
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