Seasonal adjustment
Encyclopedia
Seasonal adjustment is a statistical method for removing the seasonal component of a time series that is used when analyzing non-seasonal trends. It is normal to report un-adjusted data for current unemployment rates, as these reflect the actual current situation. Seasonally adjusted data may be used for the longer term comparison.
becomes problematic due to seasonal fluctuations. Series are made up of four components:
Different statistical research groups have developed different methods of seasonal adjustment e.g. X-12-ARIMA
developed by the United States Census Bureau
; TRAMO
/SEATS developed by the Bank of Spain; STAMP developed by a group led by S. J. Koopman.
Each group provides software supporting their methods and some versions are also included as part of larger products, some are commercially available e.g. SAS includes X-12-ARIMA, Oxmetrics includes STAMP.
A recent move by public organisations to harmonise seasonal adjustment practices has resulted in the developement of Demetra+
, developed by Eurostat
and National Bank of Belgium
which currently includes both X-12-ARIMA and TRAMO/SEATS.
which is also presented by a time series. This rate depends particularly on seasonal influences, which is why it is important to free the unemployment rate of its seasonal component. As soon as the seasonal influence is removed from this time series, the real trend of the unemployment rate is visible. Seasonal adjustment is mostly used in the official statistics implemented by statistical software like Demetra+
.
When seasonal adjustment is not done with monthly data, year-on-year changes are utilised in an attempt to avoid contamination with seasonality.
to promote standard processes. In 2009 a small group composed of experts from European Union Statistical Institions and Central Banks produced the ESS Guidelines on Seasonal Adjustment which is being implemented in all the European Union
statistical institutions. It is also being adopted voluntarily by other public statistical institutions outside the European Union.
Time series components
The investigation of many economic time seriesTime series
In statistics, signal processing, econometrics and mathematical finance, a time series is a sequence of data points, measured typically at successive times spaced at uniform time intervals. Examples of time series are the daily closing value of the Dow Jones index or the annual flow volume of the...
becomes problematic due to seasonal fluctuations. Series are made up of four components:
- St: The seasonal component
- Tt: The trendTrend estimationTrend estimation is a statistical technique to aid interpretation of data. When a series of measurements of a process are treated as a time series, trend estimation can be used to make and justify statements about tendencies in the data...
component
- Ct: The cyclicalCycle (mathematics)In mathematics, and in particular in group theory, a cycle is a permutation of the elements of some set X which maps the elements of some subset S to each other in a cyclic fashion, while fixing all other elements...
component
- It: The errorErrors and residuals in statisticsIn statistics and optimization, statistical errors and residuals are two closely related and easily confused measures of the deviation of a sample from its "theoretical value"...
, or irregular component.
Seasonal adjustment
Unlike the trend and cyclical components, seasonal components, theoretically, happen with similar magnitude during the same time period each year. The seasonal component of a series are often considered to be uninteresting in their own right and to cause the interpretation of a series to be ambiguous. By removing the seasonal component, it is easier to focus on other components.Different statistical research groups have developed different methods of seasonal adjustment e.g. X-12-ARIMA
X-12-ARIMA
X-12-ARIMA is the U.S. Census Bureau's software package for seasonal adjustment. It can be used together with gretl, which provides a graphical user interface for X-12-ARIMA.X-12-ARIMA is the successor to X-11-ARIMA-See also:*AnSWR*ARIMA*CSPro...
developed by the United States Census Bureau
United States Census Bureau
The United States Census Bureau is the government agency that is responsible for the United States Census. It also gathers other national demographic and economic data...
; TRAMO
TRAMO
TRAMO is a program for estimation, forecasting, and interpolation of regression models with missing values and ARIMA errors, in the presence of possibly several types of outliers...
/SEATS developed by the Bank of Spain; STAMP developed by a group led by S. J. Koopman.
Each group provides software supporting their methods and some versions are also included as part of larger products, some are commercially available e.g. SAS includes X-12-ARIMA, Oxmetrics includes STAMP.
A recent move by public organisations to harmonise seasonal adjustment practices has resulted in the developement of Demetra+
Demetra+
Demetra+ is a program for seasonal adjustments that was developed and published by Eurostat – European Commission.- What is the seasonal adjustment? :...
, developed by Eurostat
Eurostat
Eurostat is a Directorate-General of the European Commission located in Luxembourg. Its main responsibilities are to provide the European Union with statistical information at European level and to promote the integration of statistical methods across the Member States of the European Union,...
and National Bank of Belgium
National Bank of Belgium
The National Bank of Belgium has been the central bank of Belgium since 1850...
which currently includes both X-12-ARIMA and TRAMO/SEATS.
Example
One famous example is the rate of unemploymentUnemployment
Unemployment , as defined by the International Labour Organization, occurs when people are without jobs and they have actively sought work within the past four weeks...
which is also presented by a time series. This rate depends particularly on seasonal influences, which is why it is important to free the unemployment rate of its seasonal component. As soon as the seasonal influence is removed from this time series, the real trend of the unemployment rate is visible. Seasonal adjustment is mostly used in the official statistics implemented by statistical software like Demetra+
Demetra+
Demetra+ is a program for seasonal adjustments that was developed and published by Eurostat – European Commission.- What is the seasonal adjustment? :...
.
When seasonal adjustment is not done with monthly data, year-on-year changes are utilised in an attempt to avoid contamination with seasonality.
Moves to standardise Seasonal Adjustment processes
Due the various Seasonal Adjustment practices by different institutions, a group was created by Eurostat and the European Central BankEuropean Central Bank
The European Central Bank is the institution of the European Union that administers the monetary policy of the 17 EU Eurozone member states. It is thus one of the world's most important central banks. The bank was established by the Treaty of Amsterdam in 1998, and is headquartered in Frankfurt,...
to promote standard processes. In 2009 a small group composed of experts from European Union Statistical Institions and Central Banks produced the ESS Guidelines on Seasonal Adjustment which is being implemented in all the European Union
European Union
The European Union is an economic and political union of 27 independent member states which are located primarily in Europe. The EU traces its origins from the European Coal and Steel Community and the European Economic Community , formed by six countries in 1958...
statistical institutions. It is also being adopted voluntarily by other public statistical institutions outside the European Union.
See also
- List of statistical packages
- Seasonally adjusted annual rateSeasonally adjusted annual rateThe Seasonally Adjusted Annual Rate refers to the rate adjustment employed when drawing comparisons between various sets of statistical data. As the name suggests, it takes into account fluctuations of values in such data which might occur due to seasonality...
External links
- Download Demetra+ from circa.europa.eu
- seasonal-adjustment at CROS portal www.cros-portal.eu