Some Recent Developments and Directions in Seasonal Adjustment
David F. Findley
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 C87, C82, C84).
Time series, X-12-ARIMA, SEATS, TSW, RunX12, trends, moving holiday effects, sliding spans, spectrum, phase delay, RegComponent models, sampling error, seasonal heteroscedasticity, uncertainty measures