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  • 1. An exact test for the presence of stable seasonality with applications Archived
    Articles and reports: 12-001-X199100214505
    Description:

    The X-11-ARIMA seasonal adjustment method and the Census X-11 variant use a standard ANOVA-F-test to assess the presence of stable seasonality. This F-test is applied to a series consisting of estimated seasonals plus irregulars (residuals) which may be (and often are) autocorrelated, thus violating the basic assumption of the F-test. This limitation has long been known by producers of seasonally adjusted data and the nominal value of the F statistic has been rarely used as a criterion for seasonal adjustment. Instead, producers of seasonally adjusted data have used rules of thumb, such as, F equal to or greater than 7. This paper introduces an exact test which takes into account autocorrelated residuals following an SMA process of the (0, q) (0, Q)_s type. Comparisons of this modified F-test and the standard ANOVA test of X-11-ARIMA are made for a large number of Canadian socio-economic series.

    Release date: 1991-12-16
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  • 1. An exact test for the presence of stable seasonality with applications Archived
    Articles and reports: 12-001-X199100214505
    Description:

    The X-11-ARIMA seasonal adjustment method and the Census X-11 variant use a standard ANOVA-F-test to assess the presence of stable seasonality. This F-test is applied to a series consisting of estimated seasonals plus irregulars (residuals) which may be (and often are) autocorrelated, thus violating the basic assumption of the F-test. This limitation has long been known by producers of seasonally adjusted data and the nominal value of the F statistic has been rarely used as a criterion for seasonal adjustment. Instead, producers of seasonally adjusted data have used rules of thumb, such as, F equal to or greater than 7. This paper introduces an exact test which takes into account autocorrelated residuals following an SMA process of the (0, q) (0, Q)_s type. Comparisons of this modified F-test and the standard ANOVA test of X-11-ARIMA are made for a large number of Canadian socio-economic series.

    Release date: 1991-12-16
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