Official websites use .gov
A .gov website belongs to an official government organization in the United States.
Secure .gov websites use HTTPS
A lock (
) or https:// means you’ve safely connected to the .gov website. Share sensitive information only on official, secure websites.
Topics
Data & Maps
Surveys & Programs
Resource Library
Seasonal Adjustment to Facilitate Forecasting: Empirical Results
Seasonal Adjustment to Facilitate Forecasting: Empirical Results
Abstract
In this paper we consider how well seasonal adjustment methods (X-11 and ARIMA model-based), and certain of their variations, satisfy one objective of seasonal adjustment: facilitating short-term forecasting of nonseasonal movements in time series. We do this via an empirical study using a number of seasonal time series of major U.S. economic aggregates. For these series we examine how forecast accuracy is affected by the following choices: (1) alternative choices of simple models for forecasting the seasonally adjusted series (or trend estimates); (2) use of seasonally adjusted series versus trend estimates; (3) use of time series of unrevised versus time series of revised seasonally adjusted data; (4) use of X-11 versus ARIMA model-based adjustment; and (5) use of seasonally adjusted data in forecasting versus directly forecasting the unadjusted series.
Others in Series
Working Paper
Spectral Approach for Assessing Time Series Model Misspecification
We consider band-limited frequency domain goodness-of-fit testing for stationary time series, without smoothing or tapering the periodogram.
Working Paper
Update on the Development of X-13ARIMA-SEATS
This paper provides an update to Monsell (2007) to give details of new features found in the current prototype of X-13ARIMA-SEATS.
Working Paper
Fixed-B Asymptotics for the Studentized Mean from Time Series
This paper considers the problem of variance estimation for the sample mean in the context of long memory and negative memory time series dynamics.
Related Information
Page Last Revised - October 8, 2021
✕
Is this page helpful?
Yes
No
Yes
No✕
NO THANKS
255 characters maximum
255 characters maximum reached
255 characters maximum reached
✕
Thank you for your feedback.
Comments or suggestions?
Comments or suggestions?
