Catherine Hood Consulting

Advanced Seasonal Adjustment

with SEATS 

Purpose:
This course includes elements from Seasonal Adjustment with
X-13ARIMA-SEATS in Windows®, focusing on the SEATS adjustments. It also includes the Advanced ARIMA Modeling for Forecasting and Seasonal Adjustment course.

Duration: 5 days

Target audience:
Persons with a background in econometrics or statistics who are interested in learning more about the details of SEATS and ARIMA modeling. 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.

Topics Covered:

• The general syntax of input specification files
• Input parameters available in TRAMO/SEATS and the in the SEATS module in X-13ARIMA-SEATS
• Running SEATS in automatic mode and in batch mode
• ARMA processes
• Box-Jenkins method for ARIMA modeling
• Models for time series
• Model identification
• Fitting ARIMA models
• Estimation methods
• Regression models with ARIMA errors (regARIMA models)
• Detecting and removing outliers
• Detecting trading day and moving holiday effects
• Forecasting methods and evaluating forecasting performance
• Spectral methods
• Linear filters for seasonal adjustment
• A review of the modeling and seasonal adjustment diagnostics available
• 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.

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Trademarks and Copyrights

• TRAMO/SEATS is written by Victor Gomez and Agustin Maravall and is available free of charge from the Bank of Spain web site.
• X-12-ARIMA and X-13ARIMA-SEATS are products of the U.S. Census Bureau and are available free of charge.
• Windows Operating System, Microsoft^® Windows, Copyright Microsoft Corporation