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X-13ARIMA-SEATS Seasonal Adjustment Program

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New Capabilities and Methods of the X-12-ARIMA Seasonal Adjustment Program (1)

David F. Findley (2), Brian C. Monsell (3), William R. Bell (4), Mark C. Otto (5) and Bor-Chung Chen (6)

ABSTRACT:

X-12-ARIMA is the Census Bureau's new seasonal adjustment program. It provides four types of enhancements to X-11-ARIMA:

  1. Alternative seasonal, trading day, and holiday effect adjustment capabilities that include adjustments for effects estimated with user-defined regressors, additional seasonal and trend filter options, and an alternative seasonal-trend-irregular decomposition.
  2. New diagnostics of the quality and stability of the adjustments achieved under the options selected.
  3. Extensive time series modeling and model selection capabilities for linear regression models with ARIMA errors, with optional robust estimation of coefficients.
  4. A new user interface with features to facilitate batch processing large numbers of series.




(1) Preprint version, without comments and rejoinder, of article in Journal of Business and Economic Statistics, vol. 16 (1998), No. 2, pp. 127-157

(2) 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

(3) Brian C. Monsell is Mathematical Statistican, Statistical Research Division, U. S. Census Bureau, 4600 Silver Hill Road, Washington, DC 20233. email : brian.c.monsell@census.gov

(4) William R. Bell is Senior Mathematical Statistician for Small Area Estimation, U. S. Census Bureau, 4600 Silver Hill Road, Washington, DC 20233. email : william.r.bell@census.gov

(5) Mark C. Otto is Mathematical Statistician, U. S. Fish and Wildlife Service, 11500 American Holly Drive, Laurel, MD 20708-4016 email : mark_otto@fws.gov

(6) Bor Chung-Chen is Mathematical Statistician, Statistical Research Division, U. S. Census Bureau, 4600 Silver Hill Road, Washington, DC 20233. email : bor.chung.hilary.chen@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