Seasonal Adjustment of Selected Macro-Economic Time Series in India: Application of Alternative Methods

Identification of the actual trend component of an economic time series is important for formulation of monetary and fiscal policies. A seasonally adjusted series helps in comparing the successive values of a series, which is particularly useful for business cycle analysis. In this paper, an attempt is made to estimate the seasonal components and seasonally adjusted series for three important macro economic time series in India, viz. Quarterly Gross Domestic Products (QGDP), monthly Index of Industrial Production (IIP) and monthly Wholesale Price Index (WPI). For this, three alternative techniques – the Structural Time Series Models (STSM), X-12-ARIMA and TRAMO-SEATS has been applied. Based on the empirical analysis, STSM has been found to have work best for estimation of seasonal components and seasonally adjusted series for QGDP, while X-12-ARIMA and TRAMO-SEATS are found to have performed better for IIP and WPI respectively.