X-13ARIMA-SEATS Seasonal Adjustment Program

Update on the Development of X-13ARIMA-SEATS

Brian C. Monsell⁽¹⁾

ABSTRACT:

This paper provides an update to Monsell (2007) to give details of new features found in the current prototype of X-13ARIMA-SEATS, a seasonal adjustment program that allows the user to produce either an X-11 or a SEATS seasonal adjustment. These features include expanded options for generating spectral diagnostics, improved model-based seasonal adjustment diagnostics, an AICC based test for length of month regressors, a new regressor for end-of-month stock Easter based on Findley (2009), a technique for specifying groupings for user defined holiday regressors, and a new regression testing procedure based on the chi-square statistic for determining if regression groups should be included in the regARIMA model.

KEYWORDS:

RegARIMA models; stock holiday models; spectral diagnostics; likelihood diagnostics; model based signal extraction

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⁽¹⁾ Brian C. Monsell is Mathematical Statistician, Center for Statistical Research and Methodology, U.S. Census Bureau, 4600 Silver Hill Road, Washington, DC 20233. email : brian.c.monsell@census.gov