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Misleadings names/documentation for SEATS() and X11() #66
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I'm no expert on X-11 nor X-13ARIMA-SEATS (however I did read through the X-13ARIMA-SEATS manual), so any expert knowledge with these decompositions would be helpful. Does setting As for X11 being additive, I was under the impression that X11 only supported additive decompositions. |
X-11 is often explained with an additive decomposition but it also support at least multiplicative, log-additive and pseudo-additive (y = t * (s + i - 1)) decomposition.
It seems to me that SEATS only supports additive and log-additive decomposition.
|
So if The more I'm looking at this the more I think we should be treating X-11 and X-13ARIMA-SEATS as models with a |
With the default options, the series is pre-adjusted for trading days, outliers, gradual easter effects and a one-year forecast is done to reduce the revisions. Holidays are not adjusted by default because you have to specify your own calendar. You can also add your own regressors. The seasonal adjustment methods being highly sensitive to the presence of outliers, the goal of this step is to ensure a reliable estimation of the seasonal (and calendar) component. In X-11 there was an optional pre-adjustment step (step A) but this was done with multiplicative coefficients. If you disable the pre-adjustment step you will have indeed something close to the X-11 decomposition. However this is not recommended because in X-11 there is an automatic algorithm to correct the irregular (from AO), and the Reg-ARIMA model of X-13 performs better also correcting from other kinds of outliers (level-shift, transitory change and optionally ramp effects and seasonal outliers). Note that this is also different from what was done in X-11ARIMA. There is no better method between TRAMO-SEATS (not available in |
So you're suggesting that X-11 and X-13ARIMA-SEATS be combined into the same function? |
Yes I suggest either to have one function to perform the seasonal adjustment with X-13ARIMA-SEATS (eventually with a parameter to chose the decomposition method between SEATS or X-11) or to have two functions, like now, but with me same default parameters (no default method for the decomposition) and a similar documentation (saying that in both case X-13-ARIMA-SEATS is used). |
Great info, thanks. I don't think it's a good idea to have Also, would you consider X-13ARIMA-SEATS to be more of a decomposition method, or a model? Currently the implementation just obtains the decomposition and cannot be used to produce forecasts or look at model outputs. Treating it as a model would allow for this, but it would have to be held back until the second release. |
I've checked again the X-11 algorithm and your are not able to reproduce exactly the same "old X-11" with X-13ARIMA: there were several steps to trading days adjust the data during the decomposition that are now disables in X-13ARIMA (because this is done before the decomposition). So you are able to constrain the arguments in X-13ARIMA-SEATS is a rather a decomposition method than a model which goal is to estimate the seasonal component (so to extract a trend others decomposition methods have to be preferred). However, seasonal adjustment users are sometimes interesting in adding other time-series to the plots: the most common being the linearized series (= the pre-adjusted series), the trend and the forecasts. It was for example with the goal to add those informations that I've created |
I've now added Thanks again for bringing these issues to my attention. I would appreciate if you could look over the new version of this function when convenient. Essentially the model formula now accepts the The only interface difference I plan to make is allowing exogenous regressors for the |
I didn't have the time to test it, but it seems great, so as the documentation! I was a bit surprised to see that there was a I might be wrong (I never used the Census software but another implementation, JDemetra+, developed by the Bank of Belgium and the Bundesbank) but I think this argument is here for a backward compatibility with older version of this seasonal adjustment method: indeed the parameter The For calendar adjustment, the best alternative seems to do it in the RegARIMA approach ( To conclude, for non X-13 expert, it might be preferable to suggest to the user the use of On another subject, I'm really thinking on making my seasonal adjustment packages (based on JDemetra+) tsibble compatible (especially because in the near future it X-13 and TRAMO-SEATS implementation will be compatible with series of all frequencies), a bit like you have done with the seasonal package. Any advice to do so? |
Thanks for your comments, and apologies for the late reply. The default use of regression terms is to use The recommended approach for supporting tsibble for seasonal adjustment is to use the |
Sorry for the late reply. Ok I see, I think it is clear enough with your way to include exogenous regressors (but it might be complicated to specify the Thanks for the tips ! I think we can close this issue now. |
Great, thanks for your comments and raising this issue! 👍 |
Hi,
I think that the names of the functions
SEATS()
andX11()
(or the associated documentation) can be misleadings since, if I'm not mistaken, in both functions the seasonal decomposition is made with X-13ARIMA-SEATS. In both case a pre-adjustment step is done to adjust from trading days effects, some outliers, etc. And a forecast of this pre-adjusted series is done. Then it is this pre-adjusted series that is decomposes with SEATS or X-11.Therefore,
X11()
doesn’t not perform a seasonal adjustment with X-11 but with X-13ARIMA-SEATS.Maybe I should ask this other question in another issue but I was also wondering why the decomposition mode is forced with
X11()
(to additive) and not withSEATS()
? By default X-13ARIMA-SEATS performs an automatic selection of the decomposition mode and the most common decomposition mode for economic time series is multiplicative.The text was updated successfully, but these errors were encountered: