The Seasonal Adjustment Procedures for the Consumer Price Indexes: Some Empirical Results |
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Authors: | Raj K Jain |
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Institution: | Division of Price and Index Number Research , U.S. Bureau of Labor Statistics , Washington , DC , 20212 |
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Abstract: | Beginning with January of 1987, the consumer price indexes (CPI's) have been seasonally adjusted by the X-11 autoregressive integrated moving average (ARIMA) procedure. This modification of the X-11 procedure was introduced following an empirical investigation into three aspects of seasonal adjustment methodology as applied to several CPI series—the choice of ARIMA models to fit and forecast those series, the improvements made by the ARIMA modification in terms of revision and smoothness of the seasonally adjusted series, and the effect on the quality of seasonal adjustment and the identifiability of seasonality due to the ARIMA modification. This article reports the results of that investigation, in addition, a brief account is given of the U.S. Bureau of Labor Statistics procedures relating to the projected seasonal factors, seasonally adjusted aggregate series, and the revisions of the seasonally adjusted series. |
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Keywords: | Revision Smoothness X-11 X-11 ARIMA |
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