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Using R in Seasonal Adjustment Production of Official Statistics

Brian Monsell


This paper details my work at the Bureau of Labor Statistics in two areas - developing R packages for use in seasonal adjustment production, and evaluating several methods of seasonal adjustment for weekly time series. The packages I’m developing extract seasonal adjustment diagnostics from the output of the seasonal package, duplicate the functionality of the TERROR utility produced by Agustin Maravall, and generate diagnostic plots used by analysts at BLS. In addition, I have examined the use of R routines developed at the Federal Reserve Board (implementing the Cleveland method) and the creators of JDemetra+ (implementing a canonical decomposition of a fractional airline model) and compared them to the current method at use at BLS.