JSM 2004 - Toronto

Abstract #300583

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Activity Number: 178
Type: Topic Contributed
Date/Time: Tuesday, August 10, 2004 : 8:30 AM to 10:20 AM
Sponsor: Business and Economics Statistics Section
Abstract - #300583
Title: Experience of Bank of England in Switching to X-12-Arima for Seasonal Adjustment of Monetary Statistics
Author(s): Peter B. Kenny*+ and Susan D. Docker
Companies: PBK Research and Bank of England
Address: 53, Lindal Crescent, Enfield, EN2 7RP, England
Keywords: seasonal adjustment ; monetary and financial ; change of method
Abstract:

In January 2004, following an 18-month project, the Bank of England adopted X-12-ARIMA for the seasonal adjustment of the UK's monetary statistics, replacing an in-house method of seasonal adjustment (General Linear Abstraction of Seasonality, GLAS). X-12-ARIMA was chosen as the replacement for GLAS for a number of reasons: its technical refinement; its wide-ranging statistical diagnostics; its support and maintenance by the U.S. Census Bureau; and the fact that its future development seemed assured. This paper examines the technical issues that arose surrounding the use of X-12-ARIMA, as well as the practical aspects of changing the seasonal adjustment methodology applied to a multidimensional dataset. The points considered include: preserving accounting constraints among a set of series versus optimal adjustment of each series, direct versus indirect adjustment of aggregates (including the problem of residuals if direct is used), manual versus automatic treatment of outliers, prior adjustment for breaks using information about their effects on levels and flows versus the usual level shift treatment, adjustment of the same data at monthly and quarterly frequencies.

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