X-11/Y2k Monthly Seasonal Adjustment (Census Method II) - Trend Cycle Tab

Select the Trend cycle tab of the X-11/Y2k Monthly Seasonal Adjustment (Census Method II) dialog box to access options to select the moving average for the variable trend cycle.

Element Name Description
Henderson curve moving aver. for var. trend-cycle. Select an option in the Henderson curve moving aver. for var. trend-cycle group box to determine the moving average for the variable trend-cycle routine, which is used in the computation of the trend-cycle component from the seasonally adjusted series (e.g., see X-11 Result Tables B 7, C 7, and D 7). In general, the Henderson curve moving average is a weighted moving average with the magnitudes of the weights following a bell-shaped curve (see, for example, Makridakis and Wheelwright, 1978, or Shiskin, Young, and Musgrave, 1967). The choice of the appropriate length of the moving average is an important issue in the seasonal decomposition (i.e., the computation of the trend-cycle component). The general idea is to choose a longer moving average when there is a lot of random fluctuation in the data relative to the trend-cycle component, and to choose a shorter moving average when there is only relative little random fluctuation. The Automatic option (see below) implements this reasoning to choose the optimum length for the Henderson moving average.
Automatic If you select the Automatic option button, then STATISTICA selects a moving average transformation automatically. Specifically, first a preliminary 13-term Henderson (weighted) moving average of the seasonally adjusted series is computed (without extending to the ends of the series). A preliminary estimate of the irregular component is then computed by subtracting this series from (additive model) or dividing it into (multiplicative model) the seasonally adjusted series. Next, the average month-to-month difference (percent change) without regard to sign is computed for both the estimated irregular and trend-cycle components. The ratio of the average month-to-month differences (percent changes) in the two series reflects the relative importance of the irregular variations relative to the movements in the trend-cycle component. Depending on the value of this ratio, either a 9-term Henderson moving average is selected (if the ratio is between 0.0 and .99), a 13-term Henderson moving average is selected (if the ratio is between 1.0 and 3.49) or a 23-term Henderson moving average is selected (if the ratio is greater than 3.5). Alternatively, you can also specifically select one of those moving average transformations (see below).
9-term If you select the 9-term option button, then a 9-term Henderson moving average is used to compute the trend-cycle component.
13-term If you select the 13-term option button, then a 13-term Henderson moving average is used to compute the trend-cycle component.
23-term If you select the 23-term option button, then a 23-term Henderson moving average is used to compute the trend-cycle component.
Adjust trend-cycle for strikes (extremes) Select the Adjust trend-cycle for strikes (extremes) check box to incorporate an additional adjustment for strikes or other extreme outliers in the computation of the trend-cycle component (X-11 Result Tables B 7). This adjustment for extremes may substantially reduce the effect of major prolonged strikes or similar irregular occurrences on the B 7 and subsequent trend-cycle estimates. However, Shiskin, Young, and Musgrave (1967) caution that estimates near sharp business cycle peaks or troughs will also be affected by this adjustment.