Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/130561
Authors: 
Webel, Karsten
Year of Publication: 
2016
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 07/2016
Abstract: 
Recent releases of X-13ARIMA-SEATS and JDemetra+ enable their users to choose between the non-parametric X-11 and the parametric ARIMA model-based approach to seasonal adjustment for any given time series without the necessity of switching between different software packages. To ease the selection process, we develop a decision tree whose branches combine conceptual differences between the two methods with empirical issues. The latter primarily include a thorough inspection of the squared gains of final X-11 and Wiener-Kolmogorov seasonal adjustment filters as well as a comparison of various revision measures. We finally illustrate the decision tree on selected German macroeconomic time series.
Subjects: 
ARIMA model-based approach
linear filtering
signal extraction
unobserved components
X-11 approach
JEL: 
C13
C14
C22
ISBN: 
978-3-95729-240-7
Document Type: 
Working Paper

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