Diagnostics for Modeling and Seasonality: the Legacy of David Findley

Thomas M. Menino Convention & Exhibition Center 

David Findley (1940-2025) was a fellow of the ASA and a pioneer in the field of time series and seasonal adjustment, with a 35-year career at the U.S. Census Bureau. This talk reviews his methodological impact on model selection and seasonality diagnostics, and discusses recent advances that are motivated by his work. First we trace the development of ideas stemming from comparison of forecast error sample paths, and develop a comparison test for non-stationary time series models. Second, we review both frequency and time domain developments in seasonality diagnostics, and describe how these are assessments of persistency associated with seasonality. We present the theory and empirical performance of the new diagnostics for unit root specification and seasonality.