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The Quality of Seasonal Adjustment: An Empirical Comparison of Various Seasonal Adjustment Methods

Raj K. Jain


Using two basic assumptions of time series analysis, a test is proposed to assess the quality of seasonal adjustment of a series. The test is applied to several seasonally adjusted series of the Consumer Price Index (CPI) using three methods of seasonal adjustment: State Space Model Based Method (SSMB), TRAMO SEATS Method and X12ARIMA method. The empirical results are presented along with comparative graphs. Key Words: Intervention and Seasonally Adjusted Series, Trend, Smoothness.