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X-13ARIMA-SEATS Seasonal Adjustment Program

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An Empirical Evaluation of the Performance of TRAMO/SEATS on Simulated Series

Catherine C. H. Hood (1), James D. Ashley (2) and David F. Findley (3)

ABSTRACT:

TRAMO and SEATS are linked programs developed by Victor Gomez and Agustin Maravall to seasonally adjustment time series using ARIMA model-based signal extraction techniques. We will evaluate the performance of TRAMO/SEATS on a large sample of simulated economic time series, including series with a large irregular component, series with complex trends, and short series. We will use a version of X-12-ARIMA that has access to the SEATS algorithm. This will allow us to compute similar diagnostics for both programs — including sliding spans and revision diagnostics — so we can compare adjustments between the two programs.

KEYWORDS:

seasonal adjustment, regression models with ARIMA noise, outliers, revisions





(1) Catherine C. H. Hood is currently a consultant. email : cath@catherinechhood.net

(2) James D. Ashley is currently Mathematical Statistican, U. S. Postal Service.

(3) David F. Findley was the Senior Mathematical Statistican for Time Series and is now a consultant, U. S. Census Bureau, 4600 Silver Hill Road, Washington, DC 20233. email : david.f.findley@census.gov



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Source: U.S. Census Bureau | Center for Statistical Research and Methodology | (301) 763-1649 (or x12@census.gov) |  Last Revised: November 19, 2012