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X-13ARIMA-SEATS Seasonal Adjustment Program

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Toward X-13?

Brian C. Monsell (1), U. S. Census Bureau
John A. D. Aston (2), Statistica Sinicia
Siem Jan Koopman (3), Free University Amsterdam

ABSTRACT:

What further developments can be expected in the X-12-ARIMA seasonal adjustment package? This paper will deal with two areas of development: an experimental version of X-12-ARIMA that produces ARIMA model-based seasonal adjustments from SEATS, and a program that uses alternative, possibly non-Gaussian, component time series models to perform the signal extractions. Examples of adjustments from each of the programs will be shown.

KEYWORDS:

Model-based signal extraction, seasonal adjustment diagnostics, graphical diagnostics, component time series models.






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

(2) John A. D. Aston is currently at the University of Warwick. email : j.a.d.aston@warwick.ac.uk

(3) Siem Jan Koopman is a professor at the Free University of Amsterdam.



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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