Asymmetric Weights for end data? 5-term Henderson filter
9 views (last 30 days)
Show older comments
What is the "asymmetric weights for end series" in a 5-term Henderson filter?
I am trying to seasonally adjust a quarterly data series using the above example, which uses a 13-term Henderson filter aprox half way of the process. However I was unable to proceed since I do not know the values of an asymmetric weights for 5-term Henderson filter, unable to replace the 12-by-6 matrix in the example with a 4-by-2 matrix.
Does anybody know the values of the asymmetric weight for end series in a 5-term Henderson filter?
Note: I did get the stmmetric weights for 5-term Henderson filter (-0.073, 0.294, 0.558, 0.294, -0.073).
1 Comment
Oren Schneorson
on 6 Apr 2022
You can find it in Shiskin (1967; a low resolution version is available on Google books) on page 63. Indeed he writes there that for quarterly data you want the 5-term option. See also:
Time Series Analysis: The Process of Seasonal Adjustment from the Australian Bureau of Statistics. They use 13-term option (asymmetirc weights) which exactly match Shiskin.
https://www.abs.gov.au/websitedbs/d3310114.nsf/4a256353001af3ed4b2562bb00121564/5fc845406def2c3dca256ce100188f8e!OpenDocument
Shiskin, J. (1967). The X-11 variant of the census method II seasonal adjustment program (No. 15). US Department of Commerce, Bureau of the Census.
Answers (0)
See Also
Categories
Find more on Digital Filter Analysis in Help Center and File Exchange
Products
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!