The Seasonal Adjustment Model

The seasonal adjustment model is treated in this chapter as an example

of extensions of the trend model. Many economic time series repeat-

edly show similar patterns in the vicinity of the same season of every

year. In judging a tendency or prediction of such time series, we should

carefully take into account these characteristics to avoid misleading re-

sults. A seasonal adjustment method is developed for analyzing time se-

ries that repeat similar patterns of variation at constant intervals (Shiskin

(1976), Akaike (1980ab), Cleveland et al. (1982), Kitagawa and Gersch

(1984)). Seasonal adjustment models decompose a time series yn into

three components of trend tn, seasonal component sn and white noise wn to represent it as yn = tn + sn +wn.