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

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16% are stationary (40% of them are seasonal)84% are non-stationary.Models have 0, 1, 2; 0, 1. 0, 1, 2, 3; 0, 1. 0, 1, 2; 0, 1.maximum order of differencing: .The 50000 simulated series were exponentiated.Then, the log/level test (likelihood ratio) was applied to the 100000 series set.17
Table 1:Errors in Log/Level test (in % of series)Series is in levelsSeries is in logs120 240 120 240Airline model 0.1 0.0 0.2 0.0Other seasonal 0.4 0.1 1.1 0.1Non-seasonal 0.0 0.0 1.6 1.0Total 0.2 0.0 1.0 0.4 Accurate Slight bias that favors levels Most errors occur for 2Next:Pre-testDoes the series contain seasonality?Several tests.18
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 16 and 17: 1 0.3 B x 1 0.6 B 1 0.3 B
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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