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X-13ARIMA-SEATS Seasonal Adjustment Program

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

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

ABSTRACT:

We consider two modifications 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 new diagnostics are calculated from time-varying variances associated with the finite-length filters actually used. They thereby avoid SEATS' diagnostics' strong bias toward identifying underestimation. Tests for the statistical signi.cance of any indicated misestimation are presented and analyzed.

KEYWORDS:

Seasonal adjustment (model-based), Residual seasonality, Spectrum




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(1) 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

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

(3) Kellie C. Wills is currently a doctoral student.




[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: November 19, 2012