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

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1 0.3 B x 1 0.6 B 1 0.3 B a . (1 1 1) (0 1 1)1 0.4 1 0.5 1 0.5 .(0 1 1) (1 1 1)1 0.6 B 0.5 B x 1 0.8 B a . (2 1 0) (0 1 1)complex root: 0.71, 5.551 0.5 B 0.3 B x 1 0.4 B a . (3 1 0) (0 1 1)real root: 0.54complex root: 0.75, 2.61 0.1 B 0.17 B 0.34 B x 1 0.48 B a .(3 1 0) (0 1 1)real root: 0.74complex root: 0.68, 2.81 0.4 1 0.4 . (0 2 1) (1 1 0)15
The complete set contains many models often found in practice and also modelswith awkward structures.An example of the latter: The seasonal AR polynomial with 0. The spectral peaks of the model occur at intraseasonal frequencies,near the middle of intervals between seasonal harmonics. These peaks willgenerate a transitory component.Such an AR structure may appear when modeling SA series, and is accompaniedby negative seasonal autocorrelation, typically present in the adjusted series.Approx.: 34% are “Airline” type models.34% are “Other Seasonal” models.32% are Non-seasonal models.Non-seasonal series possibly are overrepresented.Yet, important to identify well which series have seasonality and which onesdon’t.16
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 14 and 15: . Non-stationary Orders 1 0.7
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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