Seasonal Adjustment of State and Metro Ces Jobs Data

19 Pages Posted: 12 Oct 2015

See all articles by Keith R. Phillips

Keith R. Phillips

Federal Reserve Banks - Federal Reserve Bank of Dallas

Jian Wang

The Chinese University of Hong Kong, Shenzhen; Shenzhen Finance Institute

Date Written: 2015-09-01

Abstract

Hybrid time series data often require special care in estimating seasonal factors. Series such as the state and metro area Current Employment Statistics produced by the Bureau of Labor Statistics (BLS) are composed of two different source series that often have two different seasonal patterns. In this paper we address the process to test for differing seasonal patterns within the hybrid series. We also discuss how to apply differing seasonal factors to the separate parts of the hybrid series. Currently the BLS simply juxtaposes the two different sets of seasonal factors at the transition point between the benchmark part of the data and the survey part. We argue that the seasonal factors should be extrapolated at the transition point or that an adjustment should be made to the level of the unadjusted data to correct for a bias in the survey part of the data caused by differing seasonal factors at the transition month.

Keywords: Current Employment Statistics, Seasonal Adjustment, Hybrid Time Series

JEL Classification: C13, C8

Suggested Citation

Phillips, Keith R. and Wang, Jian, Seasonal Adjustment of State and Metro Ces Jobs Data (2015-09-01). FRB of Dallas Working Paper No. 1505, Available at SSRN: https://ssrn.com/abstract=2671701 or http://dx.doi.org/10.24149/wp1505

Keith R. Phillips (Contact Author)

Federal Reserve Banks - Federal Reserve Bank of Dallas

Jian Wang

The Chinese University of Hong Kong, Shenzhen ( email )

HOME PAGE: http://jianwang.weebly.com

Shenzhen Finance Institute ( email )

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