X-12-ARIMA is the program currently used by the U.S. Census Bureau for seasonal adjustment. The home page for this program is at www.census.gov. Please look there for documentation and details.
If you wish to install X-12-ARIMA for use with gretl under GNU/Linux you can
Compile the source yourself, in which case I suggest running the shell script x12arima.sh. This is supplied in the gretl source package; you can also view it or download it from here. This script downloads the necessary files, makes some slight modifications that are needed for compilation under Linux, compiles the program (for this you need the GNU Fortran compiler, g77), and installs it in a location of your choice.
Install a binary rpm package, x12a-0.2.10-1.i386.rpm (this package was built on Red Hat Linux 7.3).
If you wish to use X-12-ARIMA with gretl on Windows, you should download the self-installer, x12a_install.exe and run it. You will be prompted for an installation directory, by default c:\userdata\x12arima. This package contains the program x12a.exe in win32 console form, along with examples and documentation in PDF format. I am grateful to Brian Monsell, at the Statistical Research Division of the U.S. Census Bureau, for permission to redistribute X-12-ARIMA in this form.
Support for X-12-ARIMA is new in version 1.0.2 of gretl and at present it is quite limited, but if there is interest in this feature I will probably aim to develop it further. The following pictures illustrate what you can do as of now.
After opening a suitable data set (i.e. containing seasonal time series), select a variable in the gretl main window and pull down the Variable menu. Select "X-12-ARIMA analysis".
You will then see a dialog box which gives you the choice of saving (into the current gretl data set) up to three of the series generated by X-12-ARIMA, namely the seasonally adjusted version of the input series, the estimated trend/cycle component of the series, and the estimated "irregular" component. At this point you can also choose whether or not to display a graph showing these series.
If you choose to display the graph, you should see something like this:
Besides saving output series and displaying the graph, you will also see the full output from the X-12-ARIMA analysis. An excerpt from this is shown below.
