Seasonal adjustment of hybrid time series: An application to U.S. regional jobs data

Keith Phillips and Jianguo Wang
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Jianguo Wang: Federal Reserve Bank of Dallas, Postal: Dallas, TX, USA

Journal of Economic and Social Measurement, 2016, issue 2, 191-202

Abstract: Hybrid time series data often require special care in estimating seasonal factors. Series such as the state and metro area Current Employment Statistics produced by the U.S. Bureau of Labor Statistics (BLS) are composed of two different source series that often have two different seasonal patterns. In this paper we address the process to test for differing seasonal patterns within the hybrid series. We also discuss how to apply differing seasonal factors to the separate parts of the hybrid series. Currently, for state employment data, the BLS simply juxtaposes the two different sets of seasonal factors at the transition point between the benchmark part of the data and the survey part. We argue that the seasonal factors should be extrapolated at the transition point or that an adjustment should be made to the level of the unadjusted data to correct for a bias in the survey part of the data caused by differing seasonal factors at the transition month.

Keywords: Current employment statistics; seasonal adjustment; hybrid time series (search for similar items in EconPapers)
JEL-codes: A13 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:ris:iosjes:0055

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