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Modifications of SEATS' Diagnostic for Detecting Over- or Underestimation of Seasonal Adjustment Decomposition Components
Modifications of SEATS' Diagnostic for Detecting Over- or Underestimation of Seasonal Adjustment Decomposition Components
Abstract
We consider two modifications of SEATS' diagnostics for determining whether, for an estimated seasonal decomposition component, there is underestimation or overestimation, meaning inadequate or excessive suppression of the other components. The new diagnostics are calculated from time-varying variances associated with the finite-length filters actually used. They thereby avoid SEATS' diagnostics' strong bias toward identifying underestimation. Tests for the statistical signi.cance of any indicated misestimation are presented and analyzed.
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Page Last Revised - October 8, 2021
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