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

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