01 Jan 2003 - 01 Jan 2003
Europe, Macroeconomics and macroeconomic policy, Research

Seasonal adjustment of inflation data. The Polish monthly CPI series 1991-2002.

The project was carried out during the 4th quarter of 2002 by Przemysław Wozniak and financed by the Main Statistical Office (GUS). The primary aim of the project was to apply various methods of seasonal adjustment to Polish inflation data and specifically, the monthly changes of the Consumer Price Index during the period 1991-2002.

The author analyzed two ARIMA-based methods most commonly applied for seasonal adjustment across statistical office in the world. First technique was developed by the American Bureau of the Census and its current version is included in the X-12-ARIMA package. The second one, TRAMO/SEATS is recommended by the EUROSTAT and is already very widely used in Europe. The analysis of the 144-observation series of monthly CPI changes allowed for comparative evaluation of both metods and yielded a final recommendation of the latter one, i.e. TRAMO/SEATS as an optimal tool of inflation seasonal adjustment in Poland.

Project output was published in 'Statistical News'.