Non-Gaussian seasonal adjustment: X-12-ARIMA versus robust structural models

Abstract

This study compares X-12-ARIMA and MING, two new seasonal adjustment methods designed to handle outliers and structural changes in a time series. X-12-ARIMA is a successor to the X-11-ARIMA seasonal adjustment method, and is being developed at the US Bureau of the Census. MING is a ‘Mixture based Non-Gaussian’ method for seasonal adjustment using time series structural models and is implemented as a function in the S-Plus language. The procedures are compared using 29 macroeconomic time series from the US Bureau of the Census. These series have both outliers and structural changes, providing a good testbed for comparing non-Gaussian methods. For the 29 series, the X-12-ARIMA decomposition consistently leads to smoother seasonal factors which are as or more ‘flexible’ than the MING seasonal component. On the other hand, MING is more stable, particularly in the way it handles outliers and level shifts. This study relies heavily on graphical tools for comparing seasonal adjustment methods.