Research on Seasonal Adjustment of Economic Time Series

本研究的目的是对统计季节调整中的各种问题进行理论思考，并基于现代时间序列分析的最新技术开发新方法。我们的研究报告摘要如下。（1）新方法的开发提出了基于Monte Carlo滤波器和平滑器的季节平差方法和基于动力系统方法的季节平差方法。动态X-11模型成功地给出了X-11的显式模型形式，它是以本质上非参数的方式定义的。蒙特卡罗滤波器/平滑器处理高维季节调整问题，允许非线性和非高斯性，这是现有统计方法几乎不可能的。将该方法应用于似含有准周期成分的小样本数据的季节调整。（2）季节模型的增强与特征化基于多元季节调整方法对宏观经济系统进行了估计。这种综合季节性调整在不久的将来可能会更加重要。还考虑了将季节模型扩展到时空数据的问题。最后，从季节调整的最优性出发，对基于线性高斯模型的季节调整的特征进行了研究。通过仿真对DECOMP和X-12 ARTMA进行了对比研究。（3）软件开发最成功的软件产品是Web-DECOMP，用户无需在本地磁盘上安装软件或重新编译软件代码，只需通过互联网浏览器即可执行季节调整程序DECOMP。另一方面，美国人口普查局几乎完成了他们的新版本软件X-12-ARIMA。最新版本及其文档（但目前尚未正式发布）可以通过他们的FTP网站（ftp.census.gov）下载。

The objective of this research was to render the theoretical considerations to the various problems in statistical seasonal adjustment, and to develop new methods based on the state-of-art techniques in modern time series analysis. The summary of our research report follows.(1)Development of new proceduresSeasonal adjustment methods based on Monte Carlo filter and smoother, and on dynamical system approach were proposed. Dynamic X-11 model successfully gives explicit model form to X-11, which is defined in an essentially non-parametric way. Monte Carlo filter/smoother deals with higher-dimensional seasonal adjustment problem allowing non-linearity and non-Gaussianity, which was next to impossible by the existing statistical methods. Thsi method was applied to the seasonal adjustment of small count data which seemingly contains quasi-periodic components.(2)Enhancement and characterization of seasonal modelsMacroeconomic system was estimated based on the multivariate seasonal adjustment. These kind of composite seasonal adjustment could be more important in the near future. Extension of seasonal models to time-space data was also considered. Finally, the research on the characterization of linear Gaussian model based seasonal adjustment was done in terms of the optimality of seasonal adjustment. Comparative study between DECOMP and X-12 ARTMA was also performed through simulations.(3)Software developmentThe most successfull software product is Web-DECOMP.Users are free from instaling softwares on local disks or free from recompilation of software codes, but they simply can execute seasonal adjustment program DECOMP through internet browsers. On the other hands, U.S.Bureau of the Census almost completed their new version of software, X-12-ARIMA.The most updated version and its documentation (but not the official release yet at present) can be downloaded via their ftp site (ftp.census.gov).