Constructing Seasonal Index

Seasonal Adjustment Using

Moving Average

Model for Yt:

Yt = Tt Ft + Irregulart

Ft = Seasonal Index Value for t

Constant for season
Case Seasonal Index: Constructing Seasonal Index Using Moving Averages

Data: Quarterly Electric Usage in Washington 1980.I - 1996.II

Algorithm
1. T = “moving average” over all seasons:
quarterly data 2x4
monthly data 2 x 12

(a) Estimates the trend, free of seasonal effect

(b) Align time

2. F = Y / T

3. Take an average of F

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 Source: Washington Water Power Annual Report (reproduced in Hanke et. al.
Business Forecasting)

A. Estimation of the trend

Washington Water Power Usage
Estimation of Trend By Averaging Over All Seasons Determining the Alignment
Y=KWH(t) Y*=(1,2,3,4) T= Y**=(2.5*,3.5*) t t*=(1,2,3,4) t**=(2.5, 3.5)
1980-1 1071 1
1980-2 648 736.25 2 2.5
1980-3 480 709.75 723.00 3 3.5 3
1980-4 746 713.00 711.38 4 4.5 4
1981-1 965 718.25 715.63 5 5.5 5
1981-2 661 723.75 721.00 6 6.5 6
1981-3 501 748.75 736.25 7 7.5 7
1981-4 768 750.25 749.50 8 8.5 8
1982-1 1065 746.50 748.38 9 9.5 9
1982-2 667 749.50 748.00 10 10.5 10
1982-3 486 714.75 732.13 11 11.5 11
1982-4 780 702.50 708.63 12 12.5 12
1983-1 926 701.75 702.13 13 13.5 13
1983-2 618 696.00 698.88 14 14.5 14
1983-3 483 726.25 711.13 15 15.5 15
1983-4 757 738.50 732.38 16 16.5 16
1984-1 1047 741.50 740.00 17 17.5 17
1984-2 667 750.75 746.13 18 18.5 18
1984-3 495 756.00 753.38 19 19.5 19
1984-4 794 745.50 750.75 20 20.5 20
1985-1 1068 746.50 746.00 21 21.5 21
1985-2 625 760.50 753.50 22 22.5 22
1985-3 499 737.25 748.88 23 23.5 23
1985-4 850 736.75 737.00 24 24.5 24
1986-1 975 736.00 736.38 25 25.5 25
1986-2 623 705.50 720.75 26 26.5 26
1986-3 496 695.00 700.25 27 27.5 27
1986-4 728 684.75 689.88 28 28.5 28
1987-1 933 683.25 684.00 29 29.5 29
1987-2 582 678.25 680.75 30 30.5 30
1987-3 490 683.25 680.75 31 31.5 31
1987-4 708 688.75 686.00 32 32.5 32
1988-1 953 693.25 691.00 33 33.5 33
1988-2 604 705.75 699.50 34 34.5 34
1988-3 508 731.00 718.38 35 35.5 35
1988-4 758 738.75 734.88 36 36.5 36
1989-1 1054 746.25 742.50 37 37.5 37
1989-2 635 744.75 745.50 38 38.5 38
1989-3 538 723.50 734.13 39 39.5 39
1989-4 752 728.50 726.00 40 40.5 40
1990-1 969 736.00 732.25 41 41.5 41
1990-2 655 736.00 736.00 42 42.5 42
1990-3 568 765.00 750.50 43 43.5 43
1990-4 752 774.25 769.63 44 44.5 44
1991-1 1085 774.25 774.25 45 45.5 45
1991-2 692 782.00 778.13 46 46.5 46
1991-3 568 742.75 762.38 47 47.5 47
1991-4 783 733.50 738.13 48 48.5 48
1992-1 928 739.00 736.25 49 49.5 49
1992-2 655 746.75 742.88 50 50.5 50
1992-3 590 769.25 758.00 51 51.5 51
1992-4 814 773.00 771.13 52 52.5 52
1993-1 1018 767.00 770.00 53 53.5 53
1993-2 670 766.25 766.63 54 54.5 54
1993-3 566 752.25 759.25 55 55.5 55
1993-4 811 746.50 749.38 56 56.5 56
1994-1 962 762.50 754.50 57 57.5 57
1994-2 647 760.50 761.50 58 58.5 58
1994-3 630 770.50 765.50 59 59.5 59
1994-4 803 830.50 800.50 60 60.5 60
1995-1 1002 826.75 828.63 61 61.5 61
1995-2 887 833.00 829.88 62 62.5 62
1995-3 615 853.25 843.13 63 63.5 63
1995-4 828 808.00 830.63 64 64.5 64
1996-1 1083 65
1996-2 706 66

B. Estimating the Seasonal Index

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Washington Water Power Usage
Estimation of Trend
Y=KWH(t) Y*=(1,2,3,4) T=Y**=(2.5*,3.5*) Est. F I II III IV
1071
648 736.25
480 709.75 723.00 0.664 0.664 1.049
746 713.00 711.38 1.049 1.348 0.917 0.680 1.025
965 718.25 715.63 1.348 1.423 0.892 0.664 1.101
661 723.75 721.00 0.917 1.319 0.884 0.679 1.034
501 748.75 736.25 0.680 1.415 0.894 0.657 1.058
768 750.25 749.50 1.025 1.432 0.829 0.666 1.153
1065 746.50 748.38 1.423 1.324 0.864 0.708 1.055
667 749.50 748.00 0.892 1.364 0.855 0.720 1.032
486 714.75 732.13 0.664 1.379 0.863 0.707 1.031
780 702.50 708.63 1.101 1.420 0.852 0.733 1.036
926 701.75 702.13 1.319 1.323 0.890 0.757 0.977
618 696.00 698.88 0.884 1.401 0.889 0.745 1.061
483 726.25 711.13 0.679 1.260 0.882 0.778 1.056
757 738.50 732.38 1.034 1.322 0.874 0.745 1.082
1047 741.50 740.00 1.415 1.275 0.850 0.823 1.003
667 750.75 746.13 0.894 1.209 1.069 0.729 0.997
495 756.00 753.38 0.657 Average 1.348 0.887 0.716 1.047 3.997
794 745.50 750.75 1.058 Median 1.348 0.882 0.714 1.042 3.986
1068 746.50 746.00 1.432
625 760.50 753.50 0.829 SINDEX_AV 1.349 0.888 0.717 1.047 4
499 737.25 748.88 0.666 SINDEX_MD 1.353 0.885 0.716 1.046 4
850 736.75 737.00 1.153
975 736.00 736.38 1.324
623 705.50 720.75 0.864
496 695.00 700.25 0.708

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C. Seasonal Adjustment of the Series

Y=KWH(t)
T Y*
=SY**S-Index Y(S-Adjusted)
Irregular
1980-1 1071 1.349 794.20
1980-2 648 0.888 730.14
1980-3 480 0.717 669.91
1980-4 746 1.047 712.20
1981-1 965 1.349 715.60
1981-2 661 0.888 744.79
1981-3 501 0.717 699.22
1981-4 768 1.047 733.20
1982-1 1065 1.349 789.75
1982-2 667 0.888 751.55
1200
1982-3 486 0.717 678.29
1982-4 780 1.047 744.65
1983-1
1000 926 1.349 686.68
1983-2 618 0.888 696.34
1983-3 483 0.717 674.10
1983-4800 757 1.047 722.70
1984-1 1047 1.349 776.41
1984-2600 667 0.888 751.55
1984-3 495 0.717 690.85
1984-4 794 1.047 758.02
400
1985-1 1068 1.349 791.98
1985-2 625 0.888 704.22
1985-3200 499 0.717 696.43
1985-4 850 1.047 811.48
1986-1 0 975 1.349 723.01
1986-2 623 0.888 701.97
13
17
21
25
29
33
37
41
45
49
53
57
61
65
1
5
9

1986-3 496 0.717 692.24

1986-4 728 1.047 695.01
1987-1 933 1.349 691.87
1987-2 582 0.888 655.77
1987-3 490 0.717 683.87
1987-4 708 1.047 675.92
1988-1 953 1.349 706.70
1988-2 604 0.888 680.56
1988-3 508 0.717 708.99
1988-4 758 1.047 723.65
1989-1 1054 1.349 781.60
1989-2 635 0.888 715.49
1989-3 538 0.717 750.86
1989-4 752 1.047 717.92
1990-1 969 1.349 718.57
1990-2 655 0.888 738.03
1990-3 568 0.717 792.73
1990-4 752 1.047 717.92
1991-1 1085 1.349 804.59
1991-2 692 0.888 779.72
1991-3 568 0.717 792.73
1991-4 783 1.047 747.52
1992-1 928 1.349 688.16
1992-2 655 0.888 738.03
1992-3 590 0.717 823.43
1992-4 814 1.047 777.11
1993-1 1018 1.349 754.90
1993-2 670 0.888 754.93
1993-3 566 0.717 789.94
1993-4 811 1.047 774.25
1994-1 962 1.349 713.37
1994-2 647 0.888 729.01
1994-3 630 0.717 879.26
1994-4 803 1.047 766.61
1995-1 1002 1.349 743.04
1995-2 887 0.888 999.44
1995-3 615 0.717 858.32
1995-4 828 1.047 790.48
1996-1 1083 1.349 803.10
1996-2 706 0.888 795.49

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 Appendix: Computation By Using Eviews

A. Computing the Seasonal Adjustment Factor

X + X (-1) + X (-2) + X (-3)

@ movav ( X , 4 ) =
4

B. Computing the Average for Each Seasonal Adjustment Factor

Select sadj, then open View/Descriptive Statistics/Stats by Classification

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C. Enter “season” as shown and click Median

Descriptive Statistics for SADJ

Categorized by values of SEASON

Sample: 1980:1 1996:2

Included observations: 66

SEASON Mean Median Std. Dev. Obs.

1 1.347675 1.348472 0.061870 15
2 0.886944 0.881710 0.051406 15
3 0.716063 0.714056 0.047136 16
4 1.046809 1.042243 0.042011 16
All 0.995569 0.986969 0.231782 62

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D. Computing the Seasonally Adjusted KWH

Useful command:

smpl if season=1

@seas

E. Eviews command for computing a seasonal index

seas var_name smoothed_name

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