JSM 2004 - Toronto

Abstract #301182

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Activity Number: 329
Type: Topic Contributed
Date/Time: Wednesday, August 11, 2004 : 10:30 AM to 12:20 PM
Sponsor: Business and Economics Statistics Section
Abstract - #301182
Title: New Graphics for Seasonal Adjustment
Author(s): Catherine Hood*+ and Roxanne Feldpausch
Companies: U.S. Census Bureau and U.S. Census Bureau
Address: , , ,
Keywords: time series ; X-12-ARIMA ; SEATS
Abstract:

Progress in seasonal adjustment depends on the development of new seasonal adjustment methods, but it also depends on the development of diagnostics for the adjustment. Two widely used seasonal adjustment programs are the U.S. Census Bureau's X-12-ARIMA and Agustin Maravall's SEATS. In previous studies with SEATS and X-12-ARIMA, we have been looking at the properties of a time series that make it a good candidate for adjustment by SEATS or by X-12-ARIMA. As part of our research into various diagnostics in SEATS and X-12-ARIMA, we have developed some new, graphical ways to look at seasonal adjustment diagnostics. We used a version of X-12-ARIMA that has access to the SEATS algorithm. This allowed us to compute similar diagnostics for both programs, including sliding spans and revision diagnostics, so we can compare adjustments between the two programs.

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