Seasonal Adjustment with and Without Revisions: A Comparison of X-13ARIMA-SEATS and CAMPLET

Abstract

CIRANO Le CIRANO est un organisme sans but lucratif constitué en vertu de la Loi des compagnies du Québec. Le financement de son infrastructure et de ses activités de recherche provient des cotisations de ses organisations-membres, d'une subvention d'infrastructure du Ministère de l'Économie, de l'Innovation et des Exportations, de même que des subventions et mandats obtenus par ses équipes de recherche. CIRANO is a private non-profit organization incorporated under the Québec Companies Act. Its infrastructure and research activities are funded through fees paid by member organizations, an infrastructure grant from the Ministère de l' l'Économie, de l'Innovation et des Exportations, and grants and research mandates obtained by its research teams.

A Review of Some Recent Developments in the Modelling and Seasonal Adjustment of Infra-Monthly Time Series

“…The CAMPLET method decomposes an observed time series into its non-seasonal and seasonal parts without the need for data pretreatment as the method's tuning parameters automatically adapt to outliers and other irregularities (Abeln and Jacobs, 2015;Abeln, Jacobs, and Ouwehand, 2019). Both the data and decomposition is assumed to be known up to time t and a new point-wise decomposition at t+1 is to be found as observation y t+1 becomes available.…”