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

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Table 2:Errors in the detection-of-seasonality-in-series tests (in % of series in group)Non-parametricAuto-correlationSpectralF-test OverallModel producedtesttesttesttestby AMIAirline modelOther seasonal modelsNon-seasonal modelsTotal120 0.0 0.0 0.0 0.2 0.0 0.0240 0.0 0.0 0.0 0.1 0.0 0.0120 2.9 0.2 6.1 1.9 0.1 0.3240 1.9 0.0 4.9 1.4 0.0 0.0120 1.5 1.6 2.4 0.8 2.2 1.2240 1.8 1.8 3.0 0.7 2.5 0.7120 1.5 0.6 2.9 1.0 0.7 0.5240 1.2 0.6 2.6 0.7 0.8 0.219
Pre-test and final detection of seasonality Ranking:1) AC,2) F,3) NP,4) Spectral. Errors concentrate on failure to detect stationary seasonality.Also, slight overdetection of seasonality. The four test integrated in Overall pre-test.Weights for AC and F: largest;Spectral test: small weight. Final decision is model provided by AMI:1 error in 200 for 120.1 error in 500 for 240.Excellent behavior.20
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 18 and 19: 16% are stationary (40% of them are
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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