X-13ARIMA-SEATS Seasonal Adjustment Program

On the Spectrum Diagnostics Used by X-12-ARIMA to Indicate the Presence of Trading Day Effects after Modeling or Adjustment

Raymond J. Soukup ⁽¹⁾ and David F. Findley ⁽²⁾

ABSTRACT:

Seasonal adjusters need to know when a time series candidate for seasonal adjustment has trading day effects and when its adjustment for trading day effects has failed to adequately remove these effects. The Census Bureau's X-12-ARIMA seasonal adjustment program calculates several spectra in order to facilitate detection of seasonal and trading day effects that require the adjuster's attention. This paper summarizes the results of a study based on real and simulated time series that led to the current choices made for X-12-ARIMA's trading day spectral diagnostics, including the criteria for warning messages. The features and advantages of the spectrum of the model residuals, which is a new addition to X-12-ARIMA output, are described.

KEYWORDS:

Seasonal Adjustment, Trading day, Spectral analysis, Time series

• Back to Seasonal Adjustment Papers page
• Download PDF file (about 8.35 Meg)
• Download PostScript file (about 1.24 Meg)

⁽¹⁾ Raymond J. Soukup is currently a statistican at the Naval Research Laboratories.

⁽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