Implementation issues on shrinkage estimators for seasonal factors within the X-11 seasonal adjustment method |
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| Authors: | Dominique Ladiray Benoit Quenneville |
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| Institution: | a INSEE, 18 Boulevard Adolphe Pinard, 75014, Paris, France;b Business Survey Methods Division, Statistics Canada, 120 Parkdale Avenue, 17J-RHC-BSMD, Ottawa, ON, Canada K1A 0T6 |
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| Abstract: | This commentary on Miller and Williams Intl. J. Forecast. 20 (2004)S29-49] discusses how shrinkage can be implemented within X12-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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| Keywords: | Shrinkage estimators Seasonal factors X-11 seasonal adjustment method |
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