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http://dx.doi.org/10.5351/KJAS.2010.23.6.997

A Comparison of Seasonal Adjustment Methods: An Application of X-13A-S Program on X-12 Filter and SEATS  

Lee, Hahn-Shik (Department of Economics, Sogang University)
Publication Information
The Korean Journal of Applied Statistics / v.23, no.6, 2010 , pp. 997-1021 More about this Journal
Abstract
This paper compares the two most widely used seasonal adjustment methods: the X-12-ARIMA and TRAMO-SEATS procedures. The basic features of these methods are discussed and compared in both their theoretical and empirical aspects. In doing so, the X-13A-S program is used to reevaluate their applicability to Korean macroeconomic data by considering possible structural breaks in the series. The finding is that both methods provide very reliable and stable estimates of seasonal factors and seasonally adjusted data. As for the empirical comparisons, TRAMO-SEATS appears to outperform X-12-ARIMA, although the results are somewhat mixed depending on the comparison criteria used and on the series under analysis. In particular, the performance of TRAMO-SEATS turns out to compare more favorably when seasonal adjustment is carried out to each sub-samples (by taking possible structural breaks into account) than when the whole sample period is used. The result suggests that as the model-based TRAMO-SEATS has a considerable theoretical appeal, some features of TRAMO-SEATS should further be incorporated into X-12-ARIMA until a standard and integrated procedure is reached by combining the theoretical coherence of TRAMO-SEATS and the empirical usefulness of X-12-ARIMA.
Keywords
Seasonal adjustment; X-11 filter; SEATS; X-13A-S program; Win-X12;
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