Short-term Forecasting and Seasonal Adjustment

Abstract

This article explores the stochastic properties and prediction performance of several economic time series both before and after adjustment by the U.S. Bureau of the Census X-11 seasonal adjustment program. The results suggest that within the class of auto-regressive-integrated-moving-average models, seasonally adjusted data do not yield consistently improved predictions and, in many circumstances, produce forecasts which are less accurate than those obtained using the unadjusted data.

Key Words:

• Seasonal adjustment
• Time series modeling
• ARIMA models
• Economic forecasting
• Prediction performance