Seasonal Adjustment of Economic Data by Application of the General Linear Statistical Model

James A. Stephenson · Helen T. Farr

41 citations0/0 files storedJournal of the American Statistical Association

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Forecasting Techniques and Applications Time Series Analysis and Forecasting Statistical and numerical algorithms

Abstract

This article presents a technique of seasonal adjustment of economic time series within the framework of the general linear statistical model. The technique is designed to be flexible enough to be applicable to varying types of economic time series. The first goal of the technique is the development of a specification that allows adequate flexibility in the estimation of the trend-cycle component of a time series. The second goal is the development of a method of handling changing seasonality. The results of applying the technique to simulated time series are presented. These are compared with the results of applying the Census X-11 method.

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References

1962Economic Forecasts and Policy 1962Economic Forecasts and Policy 1970Some Properties of "Optimal" Seasonal Adjustment 1969Spectral Methods in Econometrics

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1984Seasonal Adjustment of the Weekly Monetary Aggregates: A Model-Based Approach 1980A Survey of Recent Developments in Seasonal Adjustment

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