March 10, 2014
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 (from January 1996 to December 2013). 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 2013.
3. An automatic model selection command "automdl" is employed for each of the seasonal and non-seasonal components with the combination of the following orders: 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. Seasonal adjustment using a logarithmic transformation with a multiplicative model is adopted for all series except for "Direct investment income."

The revised seasonally adjusted data and the seasonal adjustment factors are provided on 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