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Seasonal Adjustment of Weekly Data

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  • Jeffrey Mollins
  • Rachit Lumb

Abstract

This paper summarizes and assesses several of the most popular methods to seasonally adjust weekly data. The industry standard approach, known as X-13ARIMA-SEATS, is suitable only for monthly or quarterly data. Given the increased availability and promise of non-traditional data at higher frequencies, alternative approaches are required to extract relevant signals for monitoring and analysis. This paper reviews four such methods for high-frequency seasonal adjustment. We find that tuning the parameters of each method helps deliver a properly adjusted series. We optimize using a grid search and test for residual seasonality in each series. While no method works perfectly for every series, some methods are generally effective at removing seasonality in weekly data, despite the increased difficulty of accounting for the shock of the COVID-19 pandemic. Because seasonally adjusting high-frequency data is typically a difficult task, we recommend closely inspecting each series and comparing results from multiple methods whenever possible.

Suggested Citation

  • Jeffrey Mollins & Rachit Lumb, 2024. "Seasonal Adjustment of Weekly Data," Discussion Papers 2024-17, Bank of Canada.
  • Handle: RePEc:bca:bocadp:24-17
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    References listed on IDEAS

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    1. Daniel J. Lewis & Karel Mertens & James H. Stock & Mihir Trivedi, 2022. "Measuring real activity using a weekly economic index," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 667-687, June.
    2. Ollech, Daniel, 2021. "Economic analysis using higher frequency time series: Challenges for seasonal adjustment," Discussion Papers 53/2021, Deutsche Bundesbank.
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    More about this item

    Keywords

    Econometric and statistical methods;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth

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