Volume 20 Issue 4 (October-December 2004)

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

Ladiray, D. , Quenneville, B.

Pages 557-560

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.

Keywords: Shrinkage estimators , Seasonal factors , X-11 seasonal adjustment method

FULL TEXT LINK

http://dx.doi.org/10.1016/j.ijforecast.2004.03.003

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