The Effects of Asymmetric Filters on Seasonal Factor Revisions

Abstract

Recent data seasonally adjusted by moving average methods are subject to revisions due to differences in the properties of the linear filters for the same seasonal adjustment when later data become available. This article introduces a measure of the total revision associated with the concurrent and forecasting seasonal filters and applies it to the Census Method II-X-11 variant and the X-11-ARIMA method. To consider the fact that the spectrum of many economic indicators tends to have higher peaks at the lower seasonal frequencies than at the higher, the revision measures are calculated both over all the seasonal frequencies and over selected seasonal frequency intervals.

Key Words:

• Seasonal adjustment revisions
• ARIMA, X-11-ARIMA
• Forecasting linear filters
• Frequency response functions