Browse > Article
http://dx.doi.org/10.5351/KJAS.2016.29.1.205

Seasonal adjustment in Korean economic statistics and major issues  

Lee, Geung-Hee (Department of Information Statistics, Korea National Open University)
Publication Information
The Korean Journal of Applied Statistics / v.29, no.1, 2016 , pp. 205-220 More about this Journal
Abstract
Seasonal adjustment is useful to provide a better understanding of underlying trends in Korean economic statistics. The seasonal component also includes calendar effects such as Seol and Chuseok. Most popular seasonal adjustment methods are X-12-ARIMA of the U.S. Bureau of the Census and TRAMO-SEATS of the Bank of Spain. Statistics Korea and the Bank of Korea compile seasonally adjusted series of several Korean economic statistics. This paper illustrates basic principles for seasonal adjustment and the current status of seasonal adjustment in Korea based on previous research. In addition, several issues on seasonal adjustment are addressed.
Keywords
seasonal component; calendar component; X-13ARIMA-SEATS; X-12-ARIMA; TRAMO-SEATS;
Citations & Related Records
Times Cited By KSCI : 2  (Citation Analysis)
연도 인용수 순위
1 Bell, W. R. and Hillmer, S. C. (1983). Modeling time series with calendar variation, Journal of the American Statistical Association, 78, 526-534.   DOI
2 Bloem, A. M., Dippelsman, R. J., and Maehle, N. O. (2014). Quarterly National Accounts Manual - Concepts, Data Sources, and Compilation, International Monetary Fund.
3 Cho, S. and Nam, G. (1999). Seasonal adjustment of money statistics and national income statistics using X-12 ARIMA, Economic Analysis, 5, 119-148.
4 Dagum, E. B. (1980). The X11ARIMA Seasonal Adjustment Method, Statistics Canada Catalogue, 12-564E.
5 Dagum, E. B. (1988). The X11ARIMA/88 Seasonal Adjustment Method - Foundations and User's Manual, Technical Report, Time Series Research and Analysis Division. Statistics Canada.
6 Eurostat (2002). Demetra User Manual, Version 2.0, Seasonal Adjustment Interest Group (J. Dosse and F. Hoffmann), EUROSTAT.
7 Eurostat (2009). ESS Guidelines on Seasonal Adjustment, EUROSTAT.
8 Findley, D. F., Monsell, B. C., Bell, W. R., Otto, M. C., and Chen, B. C. (1998). New capabilities of the X-12-ARIMA seasonal adjustment program, Journal of Business and Economic Statistics, 16, 127-177.
9 Gomez, V. and Maravall, A. (1996). Programs TRAMO (Time series Regression with Arima noise, Missing observations, and Outliers) and SEATS (Signal Extraction in Arima Time Series). Instructions for the User, Working paper 9628, Research Department, Banco de Espana.
10 Granger, C. W. J. (1978). Seasonality: causation, interpretation, and implications, Seasonal Analysis of Economic Time Series, 33-56, NBER.
11 Grudkowska, S. (2011). Demetra+ User Manual, National Bank of Poland.
12 Hood, C. C., Ashley, J. D., and Findley, D. F. (1999). An empirical evaluation of the performance OF TRAMO/SEATS on simulated series, Working paper, U.S. Census Bureau, U.S. Department of Commerce.
13 Hwang, H. J. and Lee, H. (2015). Korean seasonal adjustment program: BOK-X-13ARIMA-SEATS, BOK Economic Forecasting Report, 2015, 55-66.
14 Jeon, B. G. (2002). A study of seasonal adjustment method for industrial production statistics, Journal of the Korean Official Statistics, 7, 1-48.
15 Jeon, G. B. (2003). Seasonal adjustment with TRAMO-SEATS, Quarterly National Accounts, 12, 26-52.
16 Kim, H. J. (2004). Seasonal adjustment program BOK-X-12-ARIMA reference manual, Working Papers, 2004-3, The Bank of Korea.
17 Kim, J. U. and Yoon, B. H. (2000). Seasonal adjustment of industrial production index in Seoul: with X-12-ARIMA program, Seoul Studies, 1, 63-76.
18 Kim, K. H. (2000). Revision of seasonally adjusted labor force series, Journal of the Korean Official Statistics, 5, 44-62.
19 Ladiray, D. and Quenneville, B. (2001). Seasonal Adjustment with the X-11 Method, Springer-Verlag, New York.
20 Lee, G. H. (1998). X-12 ARIMA seasonal adjustment in Korean economic time series, Economic Analysis, 4, 205-242.
21 Lee, G. H. (1999). Does Seol raise consumer prices?, The Korean Journal of Applied Statistics, 12, 357-395.
22 Lee, G. H. (2000a). Korean seasonal adjustment program: BOK-X-12-ARIMA, The Korean Journal of Applied Statistics, 13, 225-236.
23 Lee, G. H. (2000b). Working days adjustment in economic time series, The Korean Journal of Applied Statistics, 13, 321-328.
24 Lee, G. H. (2000c). User's guide of seasonally adjusted statistics, Quarterly National Accounts, 1, 132-141.
25 Lee, G. H. (2003). Korean traditional holiday adjustment with regARIMA, ISI Proceedings.
26 Lee, G. H. (2004). Korean seasonal adjustment program: BOK-X-12-ARIMA 0.2, Quarterly National Accounts, 19, 73-117.
27 Lee, G. H. (2005). Seasonal Adjustment of Monthly Labor Statistics, Policy Research, Ministry of Labor.
28 Lee, G. H. and Lee, H. (2012). Principles and Applications of Economic Statistics Analysis, EPISTEME.
29 Lee, G. H. and Lee, H. (2014). A comparison study of seasonal adjusted series using the X-13ARIMA-SEATS, The Korean Journal of Applied Statistics, 27, 133-146.   DOI
30 Lee, H. (2002). Seasonal adjustment methods of Korean economic time series: a comparison of X-12-ARIMA and TRAMO-SEATS, Economic Analysis, 8, 163-207.
31 Lee, H. (2010). A comparison of seasonal adjustment methods: an application of X-13A-S program on X-12 Filter and SEATS, The Korean Journal of Applied Statistics, 23, 997-1021.   DOI
32 Park, S. (2009). Seasonal adjustment method of employment statistics: X-12-ARIMA, Journal of the Korean Official Statistics, 14, 40-68.
33 Lothian, J. and Morry, M. (1978). A Set of quality control statistics for X-11 ARIMA seasonal adjustment program, Working Paper, Statistics Canada.
34 Lytras, D. P., Feldpausch, R. M., and Bell, W. R. (2007). Determining seasonality: a comparison of diagnostics from X-12-ARIMA, Working Paper, U.S. Census Bureau, U.S. Department of Commerce.
35 Moon, G. S. (2005). A study of test for lunar holiday effects using RegARIMA model, Journal of the Korean Official Statistics, 10, 125-154.
36 Park, W. (2000). A study of trading day effect using X-12-ARIMA, Journal of the Korean Official Statistics, 5, 19-43.
37 Planas, C. (1997). Estimation of autoregressive moving average models: a comparative study, Working paper, EUROSTAT.
38 Scott, S., Tiller, R., and Chow, D. (2007). Empirical evaluation of X-11 and model-based seasonal adjustment methods, Working paper, U.S. Bureau of Labor Statistics, Office of Survey Methods Research.
39 Shiskin, J., Young, A. H., and Musgrave, J. C. (1967). The X-11 variant of the Census Method II seasonal adjustment, Technical paper, 15, Bureau of the Census, U.S. Department of Commerce.
40 U.S. Census Bureau (2010). Seasonal adjustment diagnostics, Census Bureau Guideline 18-0 v1.1., U.S. Census Bureau, U.S. Department of Commerce.
41 U.S. Census Bureau (2011). X-12-ARIMA Reference Manual, Version 0.3, U.S. Census Bureau, U.S. Department of Commerce.
42 U.S. Census Bureau (2012). X-13ARIMA-SEATS Reference Manual, Statistical Research Division, U.S. Census Bureau, U.S. Department of Commerce.