Seasonal Adjustment Papers
The following papers of interest to researchers and seasonal
adjustment experts are available for downloading.
Another page with links to papers
of historical interest dealing with X-11 and seasonal
adjustment can also be accessed from this website.
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- Book Review of E. B. Dagum and P.A. Cholette's "Benchmarking, Temporal Distribution, and Reconciliation Methods for Time Series",
by Baoline Chen and David F. Findley
(Journal of the American Statistical Association, December 2008)
- Modeling Stock Trading Day Effects Under Flow Day-of-Week Effect Constraints
by David F. Findley and Brian Monsell (to appear in JOS, 2008)
- On the Discretization of Continuous-Time Filters
for Nonstationary Stock and Flow Time Series
by Tucker McElroy and Thomas Trimbur (Research Report, May 2008)
- A Nonlinear Algorithm for Seasonal Adjustment in Multiplicative Component Decompositions.
by Tucker McElroy (Research Report, February 2008)
- Goodness-of-Fit and Badness-of-Fit Diagnostic Tests for Time Series Models
by Scott Holan and Tucker McElroy (SRD Research Report, November, 2007)
- A Nonparametric Method for Asymmetrically Extending Signal Extraction Filters
by Tucker McElroy (Research Report, November, 2007)
- New ARIMA Models for Seasonal Time Series and Their Application
to Seasonal Adjustment and Forecasting
by John A.D. Aston, David F. Findley, Tucker S. McElroy, Kellie C. Wills, and Donald E. K. Martin (Research Report, October, 2007)
- A Bayesian Approach to Estimating the Long Memory Parameter
by Scott Holan, Tucker McElroy, and Sounak Chakraborty (Research Report, October, 2007)
- A Mean Squared Error Criterion for Comparing X-12-ARIMA and Model-Based Seasonal Adjustment Filters
by Yea-Jane Chu, George C. Tiao, and William R. Bell (Research Report, September, 2007)
- Coherent Trends, Turning Points, and Forecasts for ACS Data
by Tucker McElroy (Research Report, September, 2007)
- Determining Seasonality: A Comparison of Diagnostics From X-12-ARIMA
by Demetra P. Lytras, Roxanne M. Feldpausch, and William R. Bell (Presented at ICES III, June, 2007)
- Comparing Automatic Modeling Procedures of TRAMO and X-12-ARIMA, an Update
by Kathleen M. McDonald-Johnson, Catherine C. Harvill Hood, Brian C. Monsell, Chak Li (Presented at ICES III, June, 2007)
- Issues in Modeling and Adjusting Calendar Effects in Economic Time Series
by Brian C. Monsell (Presented at ICES III, June, 2007)
- Release Notes for Version 0.3 of X-12-ARIMA
by Brian C. Monsell (SRD Research Report, June, 2007)
- Tail Index Estimation for Parametric Families Using Log Moments
by Tucker S. McElroy (SRD Research Report, January, 2007)
- Semiparametric Tail Index Estimation: A Density Quantile Approach
by Scott Holan and Tucker McElroy (SRD Research Report, January, 2007)
- Continuous Time Extraction of a Nonstationary Signal with Illustrations in Continuous Low-pass and Band-pass Filtering
by Tucker S. McElroy and Thomas Trimbur (SRD Research Report, November, 2006)
- A Spectral Approach for Locally Assessing Time Series Model Misspecification
by Tucker S. McElroy and Scott Holan (SRD Research Report, November, 2006)
- The Error in Business Cycle Estimates Obtained from Seasonally Adjusted Data
by Tucker S. McElroy (SRD Research Report, November, 2006)
- Optimality of GLS for One-Step-Ahead Forecasting of regARIMA and Related Models When the Regression is Misspecified,
by David F. Findley (Econometric Theory, 2007)
- Modeling Stock Trading Day Effects Under Flow Day-of-Week Constraints,
by David F. Findley (SRD Research Report, September 2006)
- Exact Formulas for the Hodrick-Prescott Filter,
by Tucker S. McElroy (SRD Research Report, September 2006)
- On Joint Fourier-Laplace Transforms,
by Patrick Fitzsimmons and Tucker S. McElroy (SRD Research Report, September 2006)
- Frequency Domain Analyses of SEATS and X–11/12-ARIMA Seasonal Adjustment Filters for Short and Moderate-Length Time Series,
by David F. Findley and Donald E. K. Martin (JOS, 2006)
- Statistical Properties of Model-Based Signal Extraction Diagnostic Tests,
by Tucker S. McElroy (SRD Research Report, June 2006)
- Finite Sample Revision Variances for ARIMA Model-Based Signal Extraction,
by Tucker S. McElroy and Richard Gagnon (SRD Research Report, May 2006)
- A Nonparametric Test for Assessing Spectral Peaks,
by Tucker S. McElroy and Scott Holan (SRD Research Report, December 2005)
- An Empirical Comparison of Methods for Benchmarking
Seasonally Adjusted Series to Annual Totals,
by Catherine C. Harvill Hood (ASA proceedings, November 2005)
- Some Consideration of Seasonal Adjustment Variances,
by William R. Bell (ASA proceedings, November 2005)
- Comparing the Automatic ARIMA Model Selection Procedures of X-12-ARIMA Versions 0.2 and 0.3,
by Ayonda M. Dent, Catherine C. Harvill Hood, Kathleen M. McDonald-Johnson and Roxanne M. Feldpausch (ASA proceedings, November 2005)
- Experiences With Indirect Seasonal Adjustment,
by Kathleen M. McDonald-Johnson, Catherine C. H. Hood and Roxanne M. Feldpausch (ASA proceedings, November 2005)
- Statistical Properties of Signal Extraction Diagnostics,
by Tucker S. McElroy (ASA proceedings, November 2005)
- Issues in Estimating Easter Regressors Using RegARIMA Models with X-12-ARIMA,
by David F. Findley, Kellie Wills and Brian C. Monsell (ASA proceedings, November 2005)
- Seasonal Heteroskedasticity in Census Bureau Construction Series,
by Thomas M. Trimbur (ASA proceedings, November 2005)
- Some Recent Developments and Directions in Seasonal Adjustment,
by David F. Findley (Journal of Official Statistics, June 2005, Vol. 21, No. 2)
- Matrix Formulas for Nonstationary Signal Extraction,
by Tucker McElroy (SRD Research Report, June 2005)
- Modifications of SEATS’ Diagnostic for Detecting Over- or Underestimation of Seasonal Adjustment Decomposition Components,
by David F. Findley, Tucker S. McElroy, and Kellie C. Wills (submitted to JBES, March 2005)
- Generalizations of the Box-Jenkins Airline Model with Frequency-Specific Seasonal Coefficients and a Generalizaton of Akaike’s MAIC,
by John A. D. Aston, David F. Findley, Kellie C. Wills, and Donald E. K. Martin (presented at 2004 NBER/NSF Time Series Conference)
- Modeling Time-Varying Trading-Day Effects in Monthly Time Series,
by William R. Bell and Donald E. K. Martin (ASA proceedings, November 2004)
- Diagnostics for Model-Based Seasonal Adjustment,
by Roxanne M. Feldpausch, Catherine C. H. Hood, and Kellie C. Wills (ASA proceedings, November 2004)
- Modifications of SEATS’ Diagnostic for Detecting Over- or Underestimation of Seasonal Adjustment Decomposition Components,
by David F. Findley, Tucker S. McElroy, and Kellie C. Wills (ASA proceedings, November 2004)
- Model Simplification After the Automatic Modeling Procedure of X-12-ARIMA Version 0.3,
by Kathleen M. McDonald-Johnson, Catherine C. H. Hood and Roxanne M. Feldpausch (ASA proceedings, November 2004)
- Statistical Modeling of Stochastic Level Shifts in Time Series,
by Thomas M. Trimbur (ASA proceedings, November 2004)
- An Iterated Parametric Approach to Nonstationary Signal Extraction,
by Tucker McElroy and Andrew Sutcliffe (SRD Research Report, September 2004)
- A Non-Gaussian Airline Model for Seasonal Adjustment,
by John A. D. Aston and Siem Jan Koopman (ASA proceedings, November 2003)
- Diagnostics for ARIMA-Model-Based Seasonal Adjustment,
by David F. Findley, Kellie C. Wills, John A. D. Aston, Roxanne Feldpausch, Catherine C. H. Hood (ASA proceedings, November 2003)
- Toward X-13?,
by Brian C. Monsell, John A. D. Aston and Siem Jan Koopman (ASA proceedings, November 2003)
- Getting Started with X-12-ARIMA Input Files on Your PC,
by Catherine C. H. Hood and Brian C. Monsell
(Last modified: March 2003)
- Generalizations of the Box-Jenkins Airline Model,
by David F. Findley, Donald E. K. Martin and Kellie C. Wills
(ASA proceedings, October 2002)
- Comparison of Time Series Characteristics for Seasonal Adjustments from SEATS and X-12-ARIMA,
by Catherine C. H. Hood (ASA proceedings, October 2002)
- Improving the Automatic RegARIMA Model Selection Procedures of X-12-ARIMA Version 0.3,
by Kathleen McDonald-Johnson, Thuy Trang Ta Nguyen, Catherine C. H. Hood and Brian C. Monsell (ASA proceedings, October 2002)
- Computation of Asymmetric Signal Extraction Filters and Mean Squared Error for ARIMA Component Models,
by Donald E. Martin and William R. Bell (SRD Research Report, September 2002)
- Modeling Lunar Calendar Holiday Effects in Taiwan,
by Jin-Lung Lin and Tian-Syh Liu (July 2002)
- Transformation and seasonal-trend decomposition,
by Peter Thomson and Tohru Ozaki (Proceedings of the 3rd International
Symposium on Frontiers of Time Series Modeling, January 2002)
- Outlier Selection for RegARIMA Models, by
Kathleen M. McDonald-Johnson and Catherine C. H. Hood
(ASA proceedings, October 2001, modified December 2001)
- Comparing Direct and Indirect Seasonal Adjustments of Aggregate Series,
by Catherine C. H. Hood and David F. Findley (ASA proceedings, October 2001)
- Asymptotic Stationarity Properties of Out-of-Sample Forecast Errors of Misspecifed RegARIMA Models,
by David F. Findley (ASA proceedings, October 2001)
- French translation of Seasonal Adjustment with the X-11 Method,
by Dominique Ladiray and Benoit Quenneville
- Spanish translation of Seasonal Adjustment with the X-11 Method,
by Dominique Ladiray and Benoit Quenneville
- An Empirical Evaluation of the Performance of TRAMO/SEATS on Simulated Series,
by Catherine C. H. Hood, James D. Ashley, and David F. Findley (ASA proceedings, October 2000)
- Modeling and Model Selection for Moving Holidays,
by Raymond J. Soukup and David F. Findley (ASA proceedings, October 2000)
- Detection and Modeling of Trading Day Effects,
by Raymond J. Soukup and David F. Findley (ICES proceedings, July
2000)
- On the Spectrum Diagnostics Used by X-12-ARIMA to Indicate the Presence of Trading Day Effects after Modeling or Adjustment,
by Raymond J. Soukup and David F. Findley (ASA proceedings, September 1999)
- X-12-ARIMA and its Application to Some Italian Indicator Series,
by David F. Findley and Catherine C. H. Hood (June 1999)
- New Capabilities and Methods of the X-12-ARIMA Seasonal Adjustment Program,
by David F. Findley, Brian C. Monsell, William R. Bell, Mark C. Otto and Bor-Chung Chen (Preprint version of JBES 1998)
- Design of Moving-Average Trend Filters using Fidelity, Smoothness and Minimum Revisions Criteria
by Alistair Gray and Peter Thompson (1996)
- X-11 Symmetric Linear Filters and their Transfer Functions,
by William R. Bell and Brian C. Monsell (SRD Research Report, 1992)
- Sliding Spans Diagnostics for Seasonal and Related Adjustments,
by David F. Findley, Brian C. Monsell, Holly B. Shulman, and Marion G. Pugh
(Preprint version of JASA 1990)
