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"On Seasonal Adjustment Methods "(in Japanese)

Author

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  • Naoto Kunitomo

    (Faculty of Economics, University of Tokyo)

Abstract

This is a brief survey of the existing seasonal adjustment methods. We first discuss the problem of economic seasonality commonly observed in many economic time series and the historical development of the X-11 and the X-12-ARIMA methods by the U.S. Census bureau. We also mention to other seasonal adjustment methods including the X-11-ARIMA method, the SEATS-TRAMO method and the Decomp method developed by the Institute of Statistical Mathematics. It is possible to interpret that the underlying stochastic processes of X-12-ARIMA and Decomp are similar and the latter gives automatically the optimal estimation of state variables via the Kalman-filtering. It is advisable to use the Decomp method for examining and monitoring the computational results obtained by the X-12-ARIMA method and the RegARIMA modeling at various central offices in Japan.

Suggested Citation

  • Naoto Kunitomo, 2006. ""On Seasonal Adjustment Methods "(in Japanese)," CIRJE J-Series CIRJE-J-147, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:jseres:2006cj147
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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2006/2006cj147.pdf
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