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

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Errors in orders of differencing Grouped by (D, BD) Emphasis put on seasonal differencing. More problematic group: Stationary series.Major problems: (% errors > 4%)- Some regular over-diff. for series with 0;- Some regular under-diff. for short series with 2;- For the 50000 series (long and short):• Errors in BD 1%both, under and over;• Errors in D 2.6% both, under and over, 120; 1.8% both, under and over, 240.ARMA parametersTable 7:Average number of stationary parameters per series120 240 In simulationmodelAirline model 1.9 1.8 1.7Other seasonal 2.4 2.6 2.6Non-seasonal 1.5 1.5 1.5Total 1.93 1.97 1.9425
Table 8:Simulated series: model diagnostics; % of series in group that fail the testn.i.i.d. assumption on residualsOut-of-sample forecast# obs. perConstantAutocorrelationRandomNormality Skewness Kurtosis F-test (18t-test (1-seriesmean andsignsfinalperiod-varianceperiods)ahead)Airline model(8500)Otherseasonal(8500)Non-seasonal(8000)Total(25000)120 0.8 0.3 0.2 1.0 0.8 0.6 5.3 1.2240 0.7 0.3 0.2 1.3 0.8 0.8 3.9 1.1120 0.6 0.4 0.3 1.2 0.8 0.7 4.9 1.1240 0.8 0.4 0.2 1.3 0.9 0.9 2.7 0.9120 0.7 0.6 0.3 0.7 0.6 0.5 2.0 1.2240 0.8 0.5 0.2 0.7 0.7 0.5 1.1 0.8120 0.7 0.4 0.3 1.0 0.7 0.7 4.1 1.2240 0.8 0.4 0.2 1.1 0.8 0.7 2.6 0.926
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 22 and 23: Next:AODCTable 3:Average number of
Page 24 and 25: Results: For the 25000 series with
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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