X-13ARIMA-SEATS Seasonal Adjustment Program

You are here: Census.govSubjects A to ZX-13ARIMA-SEATSSeasonal Adjustment PapersPapers by Year › Abstract of Findley, McElroy, and Wills (2005)
Skip top of page navigation

Modifications of SEATS' Diagnostic for Detecting Over- or Underestimation of Seasonal Adjustment Decomposition Components

David F. Findley(1), Tucker S. McElroy(2) and Kellie Wills (3)


We consider two modifcations of SEATS' diagnostics for determining whether, for an estimated seasonal decomposition component, there is underestimation or overestimation, meaning inadequate or excessive suppression of the other components. The diagnostic of SEATS depends on variance estimates that assume an infinitely long filter has been applied. This results in substantial bias toward indicating underestimation. Our modified diagnostics are calculated from time-varying variances associated with the finite-length filters actually used. Tests for the statistical significance of any indicated misestimation are presented and analyzed. Our diagnostics and tests also apply to structural model- based approaches to seasonal decomposition.


Signal Extraction, Auto Regressive Integrated Moving Average model, Wiener-Kolmogorov Filtering

(1) David F. Findley was the Senior Mathematical Statistican for Time Series and is now retired from the U. S. Census Bureau.

(2) Tucker S. McElroy is Mathematical Statistican, U. S. Census Bureau, 4600 Silver Hill Road, Washington, DC 20233. email : Tucker.S.McElroy@census.gov

(3) Kellie C. Wills is currently a senior research associate at the University of Washington.

[PDF] or PDF denotes a file in Adobe’s Portable Document Format. To view the file, you will need the Adobe® Reader® Off Site available free from Adobe.

This symbol Off Site indicates a link to a non-government web site. Our linking to these sites does not constitute an endorsement of any products, services or the information found on them. Once you link to another site you are subject to the policies of the new site.

Source: U.S. Census Bureau | Center for Statistical Research and Methodology | (301) 763-1649 (or x12@census.gov) |  Last Revised: September 01, 2015