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The effect of ARIMA forecasting on revisions to seasonally adjusted time series

Statistics New Zealand conducted an investigation into the effectiveness of the ARIMA forecasting option in X-12 ARIMA for reducing revisions to seasonally adjusted series. The default ARIMA models were found to fit and forecast 80 percent of the sample of Statistics New Zealand series acceptably well. However, a reduction in revisions was observed only for series that were already subject to large percentage revisions.

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