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

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Next:AODCTable 3:Average number of outliers per series120 240Airline model 0.18 0.11Other seasonal 0.16 0.09Non-seasonal 0.17 0.10Total 0.17 0.10Spurious detection of outliers 1 spurious outlier every 6 series for 120 1 spurious outlier every 10 series for 240(not far from proportions implied by CV for outlier detection).Next:IDENTIFICATION OF ARIMA MODEL ORDERS, , , , 21
Table 4:ARIMA model correct identification (in % of series in group)Completemodel ordersDifferencing120 240 120 240Airline model 78.1 85.7 95.9 99.3Other seasonal 46.7 71.6 92.3 97.4Non-seasonal 67.6 79.5 93.5 95.7Total 64.4 78.9 93.9 97.5 384 possible model orders Some models are close. Ex.:- ARI(1,1) and IMA(1,1) when parameter small in modulus.- ARMA(1,1) and IMA(1,1) when 0.8- 1, 1, 1 and 2, 1, 0Etc… Algorithm favors NON-STATIONARITY(More regular seasonal or trend-cycle components, at the cost of somesmall autocorrelation in irregular component.) First step in AMI:If AR(1) x AR 12 (1) has real root0.88 1,it is made 1(simulated models have real AR roots 0.80, 0.85).22
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 20 and 21: Table 2:Errors in the detection-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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