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Activity Number: 262
Type: Invited
Date/Time: Tuesday, July 31, 2007 : 10:30 AM to 12:20 PM
Sponsor: Business and Economics Statistics Section
Abstract - #307967
Title: Empirical Evaluation of X-11 and Model-Based Seasonal Adjustment Methods
Author(s): Stuart Scott*+ and Richard Tiller and Daniel Chow
Companies: Bureau of Labor Statistics and Bureau of Labor Statistics and Bureau of Labor Statistics
Address: 5611 Lee Hwy, Arlington, VA, 22207,
Keywords: time series decomposition ; ARIMA model ; X-12-SEATS
Abstract:

X-11 and ARIMA model-based seasonal adjustments are compared for 82 series from three Bureau of Labor Statistics programs, 1) establishment employment, hours, and earnings, 2) consumer prices, and 3) producer prices. When both methods are applied automatically, the model-based approach exhibits more flexibility; its seasonal component can be virtually deterministic or rapidly varying. The model-based method tends to estimate a more stable seasonal component for series which are noisy or mildly seasonal. For some series, comparisons are made for "analyst adjustments," in which analysts attempt to improve on the automatic adjustments. Often "automatic" results from one method lead to improvements in analyst adjustments with the other method. With the current state of the art, it seems easier to improve X-11 adjustments.

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Revised September, 2007