X-12-ARIMA is the Census Bureau's new seasonal adjustment program. It belongs to the methodological lineage of the Census Bureau's X-11 program (Shiskin, 1967) and Statistics Canada's X-11-ARIMA and X-11-ARIMA/88 (Dagum, 1988) programs. These methods estimate seasonality mainly by applying moving average filters to a possibly modified version of the input series. The modifications might include adjustments for extreme values, trading day effects, or holiday effects also estimated by the program. The filters are chosen from a fixed set of filters, partially or—in X-11-ARIMA/88 and X-12-ARIMA, possibly completely—automatically, on the basis of certain signal-to-noise ratios. See also U.S. Bureau of the Census (1998).

Others in Series

Working Paper

Detection and Modeling of Trading Day Effects

July 2000

Monthly economic time series are often systematically influenced by effects specific to the seven days of the week and when/how often they occur in the month.

Working Paper

Modeling Lunar Calendar Holiday Effects in Taiwan

July 2002

The three most important Chinese holidays have dates determined by a lunar calendar and move between two solar months.

Working Paper

Forecasting Continuous-Time Processes to Signal Extraction

June 20, 2012

The paper derives forecasting and signal extraction estimates for continuous time processes.

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Related Information

Time Series and Seasonal Adjustment Working Papers

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