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Re: st: Seasonal adjustment in Stata?

From   "Michael S. Hanson" <[email protected]>
To   [email protected]
Subject   Re: st: Seasonal adjustment in Stata?
Date   Mon, 7 Jan 2008 11:46:14 -0500

On Jan 7, 2008, at 10:52 AM, Maarten buis wrote:

-- "Beate Grundig" <[email protected]> wrote:
Is there any seasonal adjustment (like X12-Arima) implemented in
Stata? Or are there any ado-files available covering this?
see: -findit seasonal-
Issuing Maarten's -findit- command in Stata will reveal that neither X-11 nor X-12-ARIMA seasonal adjustment procedures are available for Stata. Both EViews and RATS have these procedures (as does SAS, I believe), and there exist some downloadable programs at the U.S. Census Bureau and elsewhere that will implement an X-12-ARIMA procedure.

While there are lots of ways one can "roll one's own" seasonal adjustments (see some of Bob Yaffee's suggestions, for example) and the "appropriate" way to seasonally adjust remains an active area of research, the "industry standard" X-12-ARIMA procedure is not currently available in Stata. I cannot help but see some parallels between this issue and the recent discussion of the use of SAS vs. Stata in clinical trials. In my experience, Stata by and large is not used for economic or financial time series analysis beyond a small group of dedicated users. I suspect this could change over time (minor pun), as the tools available in Stata improve. One benefit of Stata is that a sufficiently knowledgeable, skilled and motivated user could write an X-12-ARIMA procedure for others to share. (Unfortunately I do not fit that description.)

-- Mike
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