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In Defence of Model‐Based Seasonal Adjustment: An Illustration Using Australian Data

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  • Imad A. Moosa

Abstract

It is argued that the X‐11 seasonal adjustment procedure suffers from severe drawbacks, and so it should be abandoned in favour of model‐based seasonal adjustment. Furthermore, it is argued that Harvey's structural time series model is superior to the conventional seasonal ARIMA models for the purpose of model‐based seasonal adjustment. It is shown, with the help of a large number of Australian time series, that the nature of seasonality differs from one series to another, and this is why model selection is crucial for seasonal adjustment. It is further shown that model‐based seasonal adjustment could produce results that are significantly different from those obtained by applying the X‐11 procedure. Since the X‐11 procedure is not based on an explicit model and in view of its other serious drawbacks, it is concluded that the procedure should be abandoned in favour of model‐based seasonal adjustment.

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  • Imad A. Moosa, 2000. "In Defence of Model‐Based Seasonal Adjustment: An Illustration Using Australian Data," Australian Economic Papers, Wiley Blackwell, vol. 39(3), pages 372-392, September.
    • Handle: RePEc:bla:ausecp:v:39:y:2000:i:3:p:372-392
    DOI: 10.1111/1467-8454.00097
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    Cited by:

    1. Imad Moosa & Basil Al-Nakeeb, 2020. "An augmented P-Star model of US inflation," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 10(4), pages 555-566, December.

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