This course is on the X-12-ARIMA seasonal adjustment method to estimate the trend-cycle, seasonal, holiday, trading-day and irregular components of a time series. The purpose of this course is:
- to understand the components of time series;
- to understand the statistical methods used in X-12-ARIMA to estimate the components of a time series;
- to be able to run the X-12-ARIMA software;
- to understand and use the outputs it produces;
- to use an interface to run X-12-ARIMA;
- to use the X-12-GRAPH package to produce specialized graphs related to the components.
Benefits to Participants
Upon completion of the course, the participants will be in a position to choose the most appropriate options in the X-12-ARIMA method, run the X-12-ARIMA program and assess the results obtained. The course is practical, technical and theoretical.
This course is intended for employees involved or interested in the production and analysis of seasonally adjusted series.
The course examines
- the components of time series (summary);
- the calculations done in the method, such as moving averages and treatment of extreme observations;
- the choice of the decomposition model;
- the ARIMA forecasting as part of the X-12-ARIMA method;
- the estimation of calendar effects such as the Easter and trading day effects and the treatment of outliers by ARIMA regression;
- the direct versus the indirect seasonal adjustment;
- the tests used to assess the results of the seasonal adjustment;
- the overall strategy and criteria which should be used to do seasonal adjustment;
- and how to do all of the above specifically with the X-12-ARIMA program.
The The course is specialized and requires basic statistical knowledge. A related course is STC0433 ARIMA Modelling and Forecasting of Time Series, which offers benefits if previously taken but is not a mandatory prerequisite.
Duration: 2 days