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

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