Catherine Hood Consulting

Seasonal Adjustment with X-12-ARIMA in Windows^®

Purpose:
Seasonal adjustment is an important component of most published monthly and quarterly economic time series and is usually done with off-the-shelf software. One such program is X-12-ARIMA from the U.S. Census Bureau, based on the X-11 method--the most widely used method in the world for estimating the components of a time series.

The purpose of this course is to teach participants how to run X-12-ARIMA. The course covers all the commands of X-12-ARIMA, and includes instruction on input files, running the program in Windows, reading the output, and assessing the results. We will also discuss the purpose of seasonal adjustment and the methods used by X-12-ARIMA. The course is both practical and technical, and also discusses briefly some theoretical aspects. Involves in-class computer work.

Duration: 2 days

Target audience:
This course is intended for anyone interested in learning how to run X-12-ARIMA. The course is limited to 10 persons.

Prerequisites:
None, only general prior knowledge of time series is assumed. Some topics require some knowledge of statistics, for example, the participants should understand terms like mean, covariance, and linear regression.

Benefits to Participants:
Upon completion of the course, the participants will be be able to choose the most appropriate options in X-12-ARIMA, run the X-12-ARIMA program, and assess the results.

Topics Covered:
The course examines the following topics:

• Basic definitions, including time series, seasonal adjustment, trend-cycle, trading day, and moving holidays
• The benefits of using an "off the shelf" program like X-12-ARIMA for seasonal adjustment
• The general syntax of input specification files
• All of the specification functions available in X-12-ARIMA
• Running X-12-ARIMA in both single-series and batch mode
• The basic X-11 algorithm, in detail
• A review of the seasonal adjustment diagnostics, including spectral graphs and stability diagnostics
• A review of RegARIMA models and the various options and diagnostics available in X-12-ARIMA
• Computer work involving a wide range of sample series

The course will involve the practical application of concepts through the use of case studies, group discussion, and computer exercises.

Note: If time permits at the end of the course, participants will have the chance to work on sample series provided or on their own series. Participants are encouraged to bring sample time series with them to class as either text files or in Excel format.

Windows^® is a registered trademark of Microsoft Corporation

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