A New Time Series Model for Seasonally Adjusting Economic Data with Trend-Cycle Movement and Irregular, Sharply Pronounced Seasonal Fluctuations

• Activity Number: 405
• Type: Topic Contributed
• Date/Time: Wednesday, August 9, 2006 : 10:30 AM to 12:20 PM
• Sponsor: Business and Economics Statistics Section
• Author(s): Stephanus Arz*+
• Companies: Deutsche Bundesbank
• Keywords: seasonal adjustment ; calendar adjustment ; over-adjustment ; multiplicative-additive model ; X-12-ARIMA

Abstract

Usually, seasonal adjustment is based on time series models, which decompose an unadjusted series into the sum or the product of four unobservable components (trend-cycle, seasonal, working-day, and irregular). In the case of clearly weather-dependent output in the West German construction industry, traditional considerations lead to an additive model. However, this results in an over-adjustment of calendar effects. An alternative is a multiplicative-additive mixed model, the estimation of which is illustrated using X-12-ARIMA. Finally, the relevance of the new model is shown by analyzing selected time series for different countries.