A data-driven selection of an appropriate seasonal adjustment approach

Karsten Webel

No 07/2016, Discussion Papers from Deutsche Bundesbank

Abstract: Recent releases of X-13ARIMA-SEATS and JDemetra+ enable their users to choose between the non-parametric X-11 and the parametric ARIMA model-based approach to seasonal adjustment for any given time series without the necessity of switching between different software packages. To ease the selection process, we develop a decision tree whose branches combine conceptual differences between the two methods with empirical issues. The latter primarily include a thorough inspection of the squared gains of final X-11 and Wiener-Kolmogorov seasonal adjustment filters as well as a comparison of various revision measures. We finally illustrate the decision tree on selected German macroeconomic time series.

Keywords: ARIMA model-based approach; linear filtering; signal extraction; unobserved components; X-11 approach (search for similar items in EconPapers)
JEL-codes: C13 C14 C22 (search for similar items in EconPapers)
Date: 2016
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-pr~
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdps:072016

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