Working Paper No. 44
By Marco Bianchi
In this interim study, we compare a number of methods for seasonal adj ustment of the monetary aggregates published by the Bank. The methods considered are GLAS, STL , X- l l ARIMA and STAMP. The performance of the different methods is evaluated on the monthly series of M4 and its five counter parts. We also present some evidence from simulation experiments. The aim of this interim work was to provide an initial comparison of the four methods against agreed criteria. It has been published to stimulate discussion . Follow up work will seek to reach a conclusion about the most appropriate seasonal adjustment method for the Bank of England to apply to these series.
A comparison of methods for seasonal adjustment of the monetary aggregates