New seasonal moving average filters for X-13-ARIMA

Title & Authors
New seasonal moving average filters for X-13-ARIMA
Shim, Kyuho; Kang, Gunseog;

Abstract
X-13-ARIMA (a popular time series analysis software) provides $\small{3{\times}3}$, $\small{3{\times}5}$, $\small{3{\times}9}$, $\small{3{\times}15}$ moving average filters for seasonal adjustment. However, there has been questions on their performance and the need for new filters is a constant topic due to Korean economic time series often containing higher irregularity and more various seasonality than other countries. In this study, two newly developed seasonal moving average filters, $\small{3{\times}7}$ and $\small{3{\times}11}$, are introduced. New filters were implemented in X-13-ARIMA and applied to 15 economic time series to demonstrate their suitability and reliability. The result shows that some series are more stable when using new seasonal moving average filters. More accurate time series analyses would be possible if newly proposed filters are used together with existing filters.
Keywords
seasonal adjustment;seasonal moving average filters;X-13-ARIMA;sliding span;revision history;
Language
Korean
Cited by
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