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

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. Non-stationary Orders 1 0.7 (0 1 1) 1 0.5 (0 1 1) 1 0.3 (0 1 1) (0 1 0)1 0.7 (1 1 0)1 0.6 1 0.5 0.7 (1 1 2)1 0.40 0.42 (2 1 0)complex root: 0.65, 5.01 0.7 (0 1 0) (1 0 0) 1 0.8 (0 2 1) 1 0.31 0.36 (0 2 2)complex root: 0.6, 4.813
C. OTHER SEASONAL MODELS (8500 series)a. Stationary seasonality Orders1 0.6 1 0.6 . (1 0 0) (1 0 0)1 0.8 1 0.4 . (0 0 0) (1 0 1)1 0.7 1 0.85 1 0.3 (1 0 1) (1 0 0)1 0.7 1 0.4 0.7 . (0 1 2) (1 0 0)b. Non-stationary seasonality Orders 1 0.5 . (0 0 0) (0 1 1)1 1.4 B 0.7 B x 1 0.5 B a . (2 0 0) (0 1 1)complex root: 0.5, 4.801 0.4 1 0.5 . (0 0 0) (1 1 1) x 1 0.23 B 0.19 B 1 0.56 B a (0 1 2) (0 1 1)1 0.7 B x 1 0.50 B a (1 1 0) (0 1 1)1 0.5 B x 1 0.4 B a . (0 1 1) (1 1 0)1 0.4 B x 1 0.4 B 0.4 B 1 0.4 B a .(1 1 2) (0 1 1)1 0.3 1 0.6 . (1 1 0) (0 1 1)14
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 10 and 11: AUTOMATIC MODEL IDENTIFICATION (TRA
Page 12 and 13: Models:A. AIRLINE-TYPE MODELS (8500
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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