Hayat, Aziz; Bhatti, M. Ishaq - In: Economic Modelling 33 (2013) C, pp. 676-688
We report that the X-12 ARIMA and TRAMO–SEATS seasonal adjustment methods consistently underestimate the variability of the differenced seasonally adjusted series. We show that underestimation is due to a non-zero estimation error in estimating the seasonal component at each time period, which...
