Seasonality in macroeconomic time series can obscure movements of other components in a series that are operationally more important for economic and econometric analyses. Indeed, in practice one often prefers to work with seasonally adjusted data to assess the current state of the economy and its future course. Recently, two most widely used seasonal adjustment methods, Census X-12-ARIMA and TRAMO-SEATS, merged into X-13ARIMA-SEATS to become a new industry standard. In this paper, we compare and contrast X-13ARIMA-SEATS with a seasonal adjustment program called CAMPLET, an acronym of its tuning parameters. CAMPLET consists of a simple adaptive procedure which separates the seasonal component and the non-seasonal component from an observed time series. Once this process has been carried out there will be no need to revise these components at a later stage when more observations become available, in contrast with other seasonal adjustment methods. The paper briefly reviews of X-13ARIMA-SEATS and describes the main features of CAMPLET. We evaluate the outcomes of both methods in a controlled simulation framework using a variety of processes. Finally, we apply the X-13ARIMA-SEATS and CAMPLET methods to three time series: U.S. non-farm payroll employment, operational income of Ahold, and real GDP in the Netherlands.

Voir le document

Dernières publications

2017RP-03 RP
La surqualification professionnelle chez les diplômés des collèges et des universités : État de la situation au Québec
Brahim Boudarbat et Claude Montmarquette
Voir le document

2017s-11 CS
The social cost of contestable benefits
Arye Hillman et Ngo Van Long
Voir le document

2017s-09 CS
Fiscal Surprises at the FOMC
Dean Croushore et Simon van Norden
Voir le document

2017MO-04 MO
Méthodes avancées d’évaluation d’investissements / Advanced Methods of Investment Evaluation - Tome 2
Marcel Boyer
Voir le document

2017MO-03 MO
Méthodes avancées d’évaluation d’investissements / Advanced Methods of Investment Evaluation - Tome 1
Marcel Boyer
Voir le document

Centre interuniversitaire de recherche en analyse des organisations
1130 rue Sherbrooke Ouest, suite 1400
Montréal, Québec (Canada) H3A 2M8
(514) 985-4000
(514) 985-4039

© 2017 CIRANO. Tous droits réservés.

Partenaire de :