New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program

Abstract

X-12-ARIMA is the Census Bureau's new seasonal-adjustment program. It provides four types of enhancements to X-ll-ARIMA—(1) alternative seasonal, trading-day, and holiday effect adjustment capabilities that include adjustments for effects estimated with user-defined regressors; additional seasonal and trend filter options; and an alternative seasonal-trend-irregular decomposition; (2) new diagnostics of the quality and stability of the adjustments achieved under the options selected; (3) extensive time series modeling and model-selection capabilities for linear regression models with ARIMA errors, with optional robust estimation of coefficients; (4) a new user interface with features to facilitate batch processing large numbers of series.

KEY WORDS:

• Model selection
• RegARIMA models
• Trading-day models