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A Review of Seasonal Adjustment Diagnostics
International Statistical Review ( IF 1.7 ) Pub Date : 2021-11-15 , DOI: 10.1111/insr.12482
Tucker McElroy 1 , Anindya Roy 1, 2
Affiliation  

Seasonal adjustment methods are used to process and publish thousands of time series across the world each month, and judgement of the adequacy relies heavily upon seasonal adjustment diagnostics. This paper discusses tests for the adequacy of a seasonal adjustment, first reviewing the broader background on tests for seasonality and then proceeding to four tests that are appropriate for stationary forms of seasonality. We contrast time-domain and frequency-domain approaches, focusing upon four diagnostics available in the seasonal adjustment literature (and software packages) and applying the methods to a large collection of public use time series. Each of the four tests is designed around a distinct formulation of seasonality, and hence, empirical performances differ; we compare and contrast the methods and include discussion on how diagnostic results can be used to improve faulty seasonal adjustments. Directions for future research, involving inverse partial autocorrelations and polyspectra, are also discussed, and the methodologies are supported by theoretical and simulation results.

中文翻译:

季节性调整诊断综述

季节性调整方法用于每个月在全球处理和发布数千个时间序列,而充分性的判断在很大程度上依赖于季节性调整诊断。本文讨论了季节性调整充分性的检验,首先回顾了季节性检验的更广泛背景,然后进行了适用于季节性季节性形式的四个检验。我们对比时域和频域方法,重点关注季节性调整文献(和软件包)中可用的四种诊断方法,并将这些方法应用于大量公共使用时间序列。四个测试中的每一个都是围绕不同的季节性公式设计的,因此,经验表现不同;我们比较和对比了这些方法,并讨论了如何使用诊断结果来改进错误的季节性调整。还讨论了涉及逆偏自相关和多光谱的未来研究方向,并且这些方法得到了理论和模拟结果的支持。
更新日期:2021-11-15
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