Double moving average eviews 9 software#
Double moving average eviews 9 series#

Double moving average eviews 9 series#

The X11 method involves applying symmetric moving averages to a time series in order to estimate the trend, seasonal and irregular components. It uses filters to seasonally adjust data and estimate the components of a time series.

Double moving average eviews 9 software#

It has been integrated into a number of commercially available software packages such as SAS and STATISTICA. It was soon adopted by many statistical agencies around the world, including the ABS. X11 was developed by the U.S Bureau of Census and began operation in the United States in 1965. The most commonly used seasonal adjustment packages are those in the X11 family. WHAT ARE SOME PACKAGES USED TO PERFORM SEASONAL ADJUSTMENT? For more information on the major steps involved, refer to section 7.2 of the Information paper: An Introductory Course on Time Series Analysis - Electronic Delivery. There are also small differences in the steps in X11 between various versions.ДЄn additional step in estimating the seasonal factors, is to improve the robustness of the averaging process, by modification of the SI values for extremes. Obviously these steps will depend on which model (multiplicative, additive and pseudo-additive) is chosen within X11. The trend is then removed from the original series, to give an estimate of the seasonal and irregular components. To illustrate the basic steps involved in X11, consider the decomposition of a monthly time series under a multiplicative model.ДЄ symmetric 13 term (2x12) moving average is applied to an original monthly time series, O t, to produce an initial estimate of the trend T t. As a default, it assumes a multiplicative model. Therefore X11 uses an iterative approach to estimate the components of a time series.

Seasonality generally cannot be identified until the trend is known, however a good estimate of the trend cannot be made until the series has been seasonally adjusted.

The procedure consists of the following steps:ДЎ) Estimate the trend by a moving averageДў) Remove the trend leaving the seasonal and irregular componentsДЈ) Estimate the seasonal component using moving averages to smooth out the irregulars. Macaulay, of the National Bureau of Economic Research in the US. These are based on the вЂratio to moving averageвЂ™ procedure described in 1931 by Fredrick R. Filter based methods of seasonal adjustment are often known as X11 style methods.