Seasonal Adjustment with and Without Revisions: A Comparison of X-13ARIMA-SEATS and CAMPLET

29 Pages Posted: 25 Jul 2015 Last revised: 27 Jul 2015

See all articles by Barend Abeln

Barend Abeln

Independent

Jan P. A. M. Jacobs

University of Groningen - Faculty of Economics and Business

Date Written: July 1, 2015

Abstract

Seasonality in macroeconomic time series can obscure movements of other components in a series that are operationally more important for economic and econometric analyses. Indeed, in practice one often prefers to work with seasonally adjusted data to assess the current state of the economy and its future course. Recently, two most widely used seasonal adjustment methods, Census X-12-ARIMA and TRAMO-SEATS, merged into X-13ARIMA-SEATS to become a new industry standard. In this paper, we compare and contrast X-13ARIMA-SEATS with a seasonal adjustment program called CAMPLET, an acronym of its tuning parameters. CAMPLET consists of a simple adaptive procedure which separates the seasonal component and the non-seasonal component from an observed time series. Once this process has been carried out there will be no need to revise these components at a later stage when more observations become available, in contrast with other seasonal adjustment methods. The paper briefly reviews of X-13ARIMA-SEATS and describes the main features of CAMPLET. We evaluate the outcomes of both methods in a controlled simulation framework using a variety of processes. Finally, we apply the X-13ARIMA-SEATS and CAMPLET methods to three time series: U.S. non-farm payroll employment, operational income of Ahold, and real GDP in the Netherlands.

Keywords: seasonal adjustment, real-time, seasonal pattern, simulations, employment, operational income, real GDP

JEL Classification: C22, E24, E32, E37

Suggested Citation

Abeln, Barend and Jacobs, Jan P.A.M., Seasonal Adjustment with and Without Revisions: A Comparison of X-13ARIMA-SEATS and CAMPLET (July 1, 2015). CAMA Working Paper No. 25/2015. Available at SSRN: https://ssrn.com/abstract=2635289 or http://dx.doi.org/10.2139/ssrn.2635289

Barend Abeln

Independent ( email )

No Address Available

Jan P.A.M. Jacobs (Contact Author)

University of Groningen - Faculty of Economics and Business ( email )

Postbus 72
9700 AB Groningen
Netherlands

Register to save articles to
your library

Register

Paper statistics

Downloads
98
Abstract Views
492
rank
267,110
PlumX Metrics