Time series resulting from aggregation of several sub-series can be seasonally adjusted directlyor indirectly. With model-based seasonal adjustment, the sub-series may also be considered as amultivariate system of series and the analysis may be done jointly. This approach has considerableadvantage over the indirect method, as it utilises the covariance structure between the sub-series.This paper compares a model-based univariate and multivariate approach to seasonal adjustment.Firstly, the univariate basic structural model (BSM) is applied directly to the aggregate series. Secondly,the multivariate BSM is applied to a transformed system of sub-series. The prediction meansquared errors of the seasonally adjusted aggregate series resulting from each method are comparedby calculating their relative efficiency. Results indicate that gains are achievable using the mulLivariateapproach according to the relative values of the parameters of the sub-series.
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