JSM 2004 - Toronto

Abstract #300722

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Activity Number: 73
Type: Topic Contributed
Date/Time: Monday, August 9, 2004 : 8:30 AM to 10:20 AM
Sponsor: Business and Economics Statistics Section
Abstract - #300722
Title: Adjustment of Seasonally Adjusted Series to Annual Totals
Author(s): Benoit Quenneville*+ and Pierre Cholette and Guy Huot and Kim Chiu and Tommaso Di Fonzo
Companies: Statistics Canada and Statistics Canada and Statistics Canada and Statistics Canada and Universita di Padova
Address: 120 Parkdale Ave., Ottawa, ON, K1A 0T6, Canada
Keywords: benchmarking ; generalized least squares ; Henderson filters ; moving averages ; seasonal adjustment
Abstract:

This paper proposes methods to correct a seasonally adjusted series so that its annual totals match those of the raw series. The proposed methods are designed to preserve period-to-period movement like the Denton type of adjustments, but improve the adjustment at the ends. The methods can be applied to seasonally adjusted series obtained with any seasonal adjustment method such as X-11, X-11-ARIMA, X-12-ARIMA, TRAMO-SEATS and STAMP. The methods are illustrated with a seasonally adjusted series obtained with either X-11-ARIMA or X-12-ARIMA.

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