Short-term Forecasting and Seasonal Adjustment

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Abstract
This article explores the stochastic properties and prediction performance of several economic time series both before and after adjustment by the U.S. Bureau of the Census X-11 seasonal adjustment program. The results suggest that within the class of auto-regressive-integrated-moving-average models, seasonally adjusted data do not yield consistently improved predictions and, in many circumstances, produce forecasts which are less accurate than those obtained using the unadjusted data.

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