March 8, 2013
Bank of Japan
International Department

The Bank of Japan has revised the seasonally adjusted data for the following 18 items in the Balance of Payments Statistics. The revision is conducted twice a year, when preliminary and revised figures for the most recent December become available. Seasonally adjusted data have been revised from the beginning of the data (January 1996).

The outline of the method for seasonal adjustment is as follows.

1. The U.S. Census Bureau's X-12-ARIMA (Version 0.3) is used. The critical values for additive outliers and temporary changes depend on the length of the time-series data.
2. The reference period used for seasonal adjustment is from January 1996 to December 2012.
3. An automatic model selection command "automdl" is employed for each of the seasonal and non-seasonal components with the combination of orders as follows: the order of differencing is 1; and the orders of AR and MA parameters are set mostly at 0, 1, or 2.
4. The forecast with the ARIMA model is extended up to 48 months, while backcasting is not conducted.
5. A multiplicative model and a logarithmic transformation are adopted for every series except for "Direct investment income."
6. For 2013, seasonally adjusted figures are calculated by applying the predicted seasonal factors.

The revised seasonally adjusted data and the seasonal adjustment factors can be downloaded from the "BOJ Time-Series Data Search" on the Bank's web site.

The Settings of Models and Options for ARIMA Models

Inquiries

Balance of Payments Statistics Group, Balance of Payments Division, International Department

E-mail : boj-bop@boj.or.jp