The Seasonal Adjustment Procedures for the Consumer Price Indexes: Some Empirical Results
Beginning with January of 1987, the consumer price indexes (CPIs) have been seasonally adjusted by the X-11 autoregressive integrated moving average (ARIMA) procedure. This modification of the X-11 procedure was introduced following an empirical investigation into three aspects of seasonal adjustment methodology as applied to several CPI series--the choice of ARIMA models to fit and forecast those series, the improvements made by the ARIMA modification in terms of revision…