Some Recent Developments and Directions in Seasonal Adjustment

David F. Findley

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

Abstract

Abstract: This article describes recent developments in software, diagnostics and research for seasonal adjustment. These include: software merging X-12-ARIMA and SEATS; improved diagnostics for SEATS derived from finite rather than infinite filters; a diagnostic showing the extent to which the trend delays the current business cycle information more than the seasonal adjustment; four new kinds of models for seasonal adjustment, including frequency-specific Airline models; and, finally, some methodological developments proposed for X-11 method seasonal adjustments. (JEL

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2001Seasonal Adjustment with the X-11 Method 2004Damping seasonal factors: Shrinkage estimators for the X-12-ARIMA program

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