Seasonal Adjustment of Time Series using R

Installing Packages

In the first step the packages are installed using the following codes that are used in the coding.

#### INSTALLING PACKAGES ######
if (!require(pacman)) install.packages("pacman")

## Loading required package: pacman

pacman::p_load(openxlsx,readxl,seasonal,dplR,BCDating,mFilter, ggplot2, utils,astsa,RColorBrewer)
###############################

Setting the Working Directory

Set the working directory where the seasonally adjusted file needs to be downloaded.

#### setting working directory ######
setwd("~/")
###############################

Seasonal Adjustment Code

Here I write the seasonal adjusment code for and data. The inputs of the code are

x: the time series vector in numeric class that will be seasonally adjusted. For example, GDP at constant price, price index, index of industrial production, etc.
year: starting year of the data, i.e., x.
number: if it is quarterly, the quarter number or if monthly, it is month number. For example, For 2007 third quarter year=2007, number=3 and for 2010 October month year=2010, number=10.
freq : it is a character quarterly or monthly.
filename : name of the file.csv in which the original and seasonally adjusted series needs to be stored.

seasadj=function(x,year,number, freq, filename="SeasAdj Data.csv"){
if(freq=="quarterly"){
xts=ts(x, start=c(year, number), frequency=4)
sdat=seas(xts)
sdy=sdat$data[,1]
SAData=data.frame(list(as.numeric(x),as.numeric(sdy)))
colnames(SAData)=c("Original Variable","Seasonally Adjusted Variable")
write.table(SAData, filename,na = "",row.names =FALSE,col.names = TRUE,append = FALSE,sep = ",")
tsplot(cbind(xts,sdy),gg=F,spaghetti=T,col=brewer.pal(n = 8, name = "Dark2"))
legend('topleft', col=brewer.pal(n = 8, name = "Dark2"), lwd=2, legend=c("Original", "Seasonally Adjusted"))
}
if(freq=="monthly"){
    xts=ts(x, start=c(year, number), frequency=12)
    sdat=seas(xts)
    sdy=sdat$data[,1]
    SAData=data.frame(list(as.numeric(x),as.numeric(sdy)))
    colnames(SAData)=c("Original Variable","Seasonally Adjusted Variable")
    write.table(SAData, filename ,na = "",row.names =FALSE,col.names = TRUE,append = FALSE,sep = ",")
    tsplot(cbind(xts,sdy),gg=F,spaghetti=T,col=brewer.pal(n = 8, name = "Dark2"))
    legend('topleft', col=brewer.pal(n = 8, name = "Dark2"), lwd=2, legend=c("Original", "Seasonally Adjusted"))
     }
}

Example

We have taken quarterly GDP data of India for seasonal adjustment.

#Quarterly Data
data_q=read.xlsx("https://mudulisilu.files.wordpress.com/2021/11/quarterly_data.xlsx")
seasadj(data_q$GDP,2006,3,"quarterly","IndiaGDP.csv")