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Seasonal adjustment of hybrid time series: An application to U.S. regional jobs data

Author

Listed:
  • Phillips, Keith R.

    (Federal Reserve Bank of Dallas)

  • Wang, Jianguo

    (Federal Reserve Bank of Dallas)

Abstract

Hybrid time series data often require special care in estimating seasonal factors. Series such as the state and metro area Current Employment Statistics produced by the U.S. Bureau of Labor Statistics (BLS) are composed of two different source series that often have two different seasonal patterns. In this paper we address the process to test for differing seasonal patterns within the hybrid series. We also discuss how to apply differing seasonal factors to the separate parts of the hybrid series. Currently, for state employment data, the BLS simply juxtaposes the two different sets of seasonal factors at the transition point between the benchmark part of the data and the survey part. We argue that the seasonal factors should be extrapolated at the transition point or that an adjustment should be made to the level of the unadjusted data to correct for a bias in the survey part of the data caused by differing seasonal factors at the transition month.

Suggested Citation

  • Phillips, Keith R. & Wang, Jianguo, 2016. "Seasonal adjustment of hybrid time series: An application to U.S. regional jobs data," Journal of Economic and Social Measurement, IOS Press, issue 2, pages 191-202.
    • Handle: RePEc:ris:iosjes:0055
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    More about this item

    Keywords

    Current employment statistics; seasonal adjustment; hybrid time series;
    All these keywords.

    JEL classification:

    • A13 - General Economics and Teaching - - General Economics - - - Relation of Economics to Social Values

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