seasonal adjustment n.
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  1. SEASONAL ADJUSTMENT BEA Advisory Committee May 11, 2012

  2. What do users want? • Data series that represent the concept they are said to measure to be as accurate as possible. • In the US, they usually want a seasonally adjusted series • In Europe and Asia, there is a healthy skepticism about the quality of SA data

  3. Miscellaneous Thoughts • Seasonal Adjustment is a lot more difficult than it might seem. • Seasonal Adjustment is really forecasting. We make judgments that affect the outcome. • There seems to be a communication gap between those who understand the inner workings of these programs and those who work with the data day to day.

  4. Recommendations • Need more research on situations like our “Great Recession” where we don’t just have one outlier to deal with • X12-ARIMA doesn’t seem to be sensitive enough to detect outliers except major ones like Katrina on LA data • Why does Tramo-Seats consistently produce a smoother seasonally adjusted series?

  5. Recommendations • Do benefits of concurrent seasonal adjustment offset problems it creates? • Increased work load at the statistical agencies when faced with tight release schedules • Additional uncertainty for users who need to forecast this month’s figure

  6. Recommendations • Census Bureau should be commended for the development of X13-SEATS • We need an official release so it gets incorporated into major econometrics pkgs • Need source code in C so it is more accessible. Most FORTRAN programmers have retired.

  7. Recommendations • Need greater transparency on how seasonal adjustment is done • Very few descriptions of intervention analysis tell you how it was really done. Was it treated as an Additive Outlier, Level Shift, RAMP? • Leaving out months seems to mean different things to different people

  8. Conclusion • Not clear whether the recession echo problem is caused by the tool (X12) or because the capabilities were not fully utilized or used correctly • Even if the problem is due to user error, we need a tool that reasonably intelligent economic analysts can use without extensive training