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The Evolution of Seasonal Adjustment Software Under the Leadership of David Findley

Brian Monsell Speaker
NSR Solutions Inc
 
Wednesday, Aug 5: 9:15 AM - 9:35 AM
Topic-Contributed Paper Session 
Thomas M. Menino Convention & Exhibition Center 
This talk will start by showing how seasonal adjustment software developed at the Census Bureau's Time Series Research Staff evolved under the leadership of David Findley, starting with PC versions of X-11 and X-11 ARIMA to the software used currently, X-13ARIMA-SEATS. The software added capabilities related to seasonal adjustment diagnostics, regARIMA modeling capabilities, and automated model selection (including outlier detection and AICC related testing).

The last half of the talk will show more recent developments in seasonal adjustment software at the US Census Bureau and innovations in methodology at the US Bureau of Labor Statistics and other agencies. These innovations are seen in adopting a more recent software architecture (Java for JDemetra+ and Python for SeasCen), as well as methodological changes in utilizing unobserved component models at the Bureau of Labor Statistics.

Keywords

Seasonal Adjustment

Signal Extraction

Statistical Software

High Frequency Time Series

Unobserved Component Models

Python