Developing and improving a moving regression weekly seasonal adjustment program

Pierce, Grupe, and Cleveland (1984) introduced a fixed regression approach to the problem of seasonal adjustment for weekly time series. Cleveland (1993) expanded this approach by adding locally-weighted regressions to allow for varying seasonal factors, and the Bureau of Labor Statistics adopted his moving regression approach in 2002 for national Unemployment Insurance claims. However, the moving regression program written by Cleveland was incomplete in some areas. Thus, a new program (RegMOVE) is being developed to simplify execution and improve the output, including the addition of diagnostics and high-resolution graphics. The authors hope to provide a useable program that could be available for others.