JSM 2004 - Toronto

Abstract #300654

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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 - #300654
Title: Changing to X-12-ARIMA at Statistics Canada
Author(s): Norma Chhab-Alperin*+ and Benoit Quenneville
Companies: Statistics Canada and Statistics Canada
Address: 120 Parkdale Ave., Ottawa, ON, K1A 0T6, Canada
Keywords: X11-ARIMA ; seasonal adjustment ; official statistics
Abstract:

At Statistics Canada, the X11-ARIMA method or its successors X11-ARIMA/88 and X11-ARIMA version 2000 have been the official seasonal adjustment methods since 1980. Developed at Statistics Canada, the X11-ARIMA improved over the widely used Census Bureau's X11 method by extending the series with ARIMA forecasts that reduce the revisions of the estimates at the end of the series. X11-ARIMA/88 added new features such as the estimation of the Easter effect, the removal of the calendar effects before the ARIMA modeling of the series and increased accuracy of the asymmetric filters. X11-ARIMA version 2000 was introduced to be Y2K compliant. X-12-ARIMA represents a technical advance of X11-ARIMA including all the capabilities of the latest version of X11-ARIMA and retaining the X11 decomposition as the core method of seasonal adjustment. The improvements of X-12-ARIMA over X11-ARIMA can be grouped in three broad categories: new modeling capabilities, new X11 adjustment options, new diagnostics, and a graphical tool implemented in SAS.

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