Disponible en Español
Course on Advanced Topics in Seasonal Adjustment
November 28 - December 2, 2022
Centro de Estudios Monetarios Latinoamericanos, A. C.
- Introduction: overview, basic concepts regarding time series and ARIMA models.
- X-11 core: basic principle and further issues and user customization, automatic selection of filters.
- Seasonal adjustment with JDemetra+: introduction to the software and first practical considerations.
- Calendar effects: predefined regression variables, customization of user-defined regression variables.
- Outliers: modelling in times of strong economic changes, seasonal breaks.
- Seasonal adjustment of composite time series: direct vs. indirect approach, case studies.
- Revision policies: overview, controlled current adjustment with the ConCur plug-in.
- Daily data: potential issues, overview of modelling approaches, STL-based seasonal adjustment.
- Examples, Exercises, Q & A
The objective of the course is to cover a diversity of advanced topics in seasonal adjustment of time series, such as: Concepts regarding time series and ARIMA models; X-11 core, Calendar effects, Outliers (modelling, anomaly detection, seasonal breaks); Seasonal adjustment of composite time series; Seasonal adjustment of daily time series, and revision policies.
conomists, statisticians from central banks and officials from other institutions members of CEMLA that work with time series that requires seasonal adjustment. Prior knowledge and/or experience in seasonal adjustment is highly recommended.
Jesús Cervantes González
Directorate of Economic Statistics