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st: Re: seasonal adjustment


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: seasonal adjustment
Date   Tue, 12 Aug 2008 09:53:40 -0400

< >

One statement below is incorrect. The source code for US Bureau of the Census procedure X12 (be it ever so arbitrary) is publicly accessible:

http://www.census.gov/srd/www/x12a/x12downv03_unix.html

in fact I raised that issue with someone at StataCorp some time ago, pointing out that Bill Gould had helpfully written a primer on how to convert Fortran to Mata in the SJ, so why didn't someone take this on? The only issue is that the source code for X12 involves tens of thousands of lines of Fortran, and perhaps understandably that has not been a high priority at StataCorp.

It would be a great service to the user community if someone did that, though, as here in the US timeseries massaged by X12 are ubiquitous. In order to show the potential weaknesses of that procedure, one must be able to replicate it, and it would be very attractive to be able to do so in Stata without resorting to external programs.

Kit

Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On Aug 12, 2008, at 02:33 , Nick wrote:


On your main question, I think the answer is No. You can -findit
seasonal- to see what is available and nothing like X12 is evident to
me.

I don't doubt that there are Stata users who would like to apply one or
more of these seasonal adjustment procedures in Stata, but they appear
highly unStataish to me, and it seems no surprise that there are no
Stata implementations.

These procedures seem to be very complicated and relatively inflexible.
They tend to wire in arbitrary empiricisms and be very much of their
time. The idea that there is even a family of adjustment procedures that
will clean data regardless of (the rest of the) data generating process
seems not to march well with current time series ideas. Whenever I poke
around I tend to get the impression that only the source code would be
an adequate source for precisely what is being done, and that may not be
easily accessible. For these and yet other reasons I am not surprised
that no user-programmers have implemented any such.
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