How is the seasonal adjustment derived?
We use a computer program called X-12-ARIMA to derive our seasonal adjustment and produce seasonal factors. It is difficult to estimate seasonal effects when the underlying level of the series changes over time. For this reason, the program starts by detrending the series with a crude estimate of the trend-cycle. It then derives crude seasonal factors from the detrended series. It uses these to obtain a better trend-cycle and detrended series from which a more refined seasonal component is obtained. This iterative procedure, involving successive improvements, is used because seasonal effects make it difficult to determine the underlying level of the series required for the first step. Crude and more refined irregular components are used to identify and compensate for data that are so extreme that they can distort the estimates of trend-cycle and seasonal factors. The seasonal factors are divided into the original series to get the seasonally adjusted series. For example, suppose for a
Related Questions
- Altering the Seasonal Adjustment Option For Producing Seasonally Adjusted Data For the September and October 2001 Release Frequently Asked Questions Was the option that was altered developed specifically to handle the impact of the terrorist attacks?
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