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If you are interested in the type of seasonality analysis that is done at
some of the worlds Central Banks, you can get a free copy of one of the
programs they use. It was developed by Eurostat. It will only work on
monthly data in its present form. I am told that this will change in
future versions. Documentation is also available here.
http://forum.europa.eu.int/Public/irc/dsis/eurosam/library?l=/software/de
metra_software&vm=detailed&sb=Title
Demetra will read excel files as well as ASCII data. It contains the same
algorithm that the US Government uses, X12 arima. I ran the OEX and Spx
(monthly data) through this and could find no seasonality pattens.
Another good site is:
http://www.duke.edu/~rnau/411outbd.htm
Spreadsheet implementation of seasonal adjustment and exponential
smoothing
you can download a copy of the spreadsheet and documentation.
Ron McEwan
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