Is TRAMO-SEATS automatic identification of Reg-ARIMA ... - Cemfi

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AUTOMATIC MODEL IDENTIFICATION (TRAMO)1. Log/level2. Seasonal/non-seasonal3. Calendar effects4. Outliers5. ARIMA Differencing ARMAA. PERFORMANCE OF AMI ON A SET OF SIMULATED SERIESAUTOMATIC MODE.ONLY PARAMETER 3(No pre-test for calendar effects).B. PERFORMANCE OF AMI ON A SET OF REAL SERIESAUTOMATIC MODE. 4(Default, pre-test for TD with working/non-working dayspecification).9
Series simulated from n.i.i.d. (0,1), series a d bd starting conditions.50 ARIMA models. For each:500 series with 120 observations500 series with 240 observations.Total: 25000 “short” series25000 “long” series.10
Page 1: April 2012Is TRAMO-SEATS automatici
Page 5 and 6: (2) Components in STSM approach: al
Page 8 and 9: REG-ARIMA model:
Page 12 and 13: Models:A. AIRLINE-TYPE MODELS (8500
Page 14 and 15: . Non-stationary Orders 1 0.7
Page 16 and 17: 1 0.3 B x 1 0.6 B 1 0.3 B
Page 18 and 19: 16% are stationary (40% of them are
Page 20 and 21: Table 2:Errors in the detection-of-
Page 22 and 23: Next:AODCTable 3:Average number of
Page 24 and 25: Results: For the 25000 series with
Page 26 and 27: Errors in orders of differencing Gr
Page 28 and 29: All tests are carried at the 1% (ap
Page 30 and 31: Table 10:Correct Identification of
Page 32 and 33: But what about REAL SERIES?Generati
Page 34 and 35: Next:Results from TSW+ purely autom
Page 36 and 37: Table 14: % Reduction in residual S
Page 38 and 39: SEATS will reduce it further (throu
Page 40 and 41: Table 17: ARMA parametersGroup (by
Page 42 and 43: Table 19:Real series: Model-diagnos
Page 44 and 45: :- For all groups 99%. and con
Page 46 and 47: OutliersResidual Autocorrelation116
Page 48 and 49: OutliersResidual Autocorrelation%38
Page 50 and 51: %2625242322212019181716151413121110
Page 52 and 53: SEASONALITY AND SEASONAL ADJUSTMENT
Page 54 and 55: SEATS decomposes the series into co
Page 56 and 57: Computational failure: 0%.Misspecif

Is TRAMO-SEATS automatic identification of Reg-ARIMA ... - Cemfi

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