Is TRAMO-SEATS automatic identification of Reg-ARIMA ... - Cemfi
Is TRAMO-SEATS automatic identification of Reg-ARIMA ... - Cemfi
Is TRAMO-SEATS automatic identification of Reg-ARIMA ... - Cemfi
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All tests are carried at the 1% (approximate) level. Residual diagnostics- In all cases, except for Normality, % failure 1%;- For N: 1% Out-<strong>of</strong>-sample forecast- F-test failures decrease with NZ, from 5.3% to 1.1%;- t-test 1%Table 9:Seasonality and Calendar residual effects (% <strong>of</strong> residual series ingroup that show evidence)# obs. perseriesEvidence <strong>of</strong> seasonality in residualsSeasonal NonparametricSpectral Overallautocorrel.evidence testtestSpectralevidence<strong>of</strong> TDeffect inresidualsAirline model(8500)Otherseasonal(8500)Non-seasonal(8000)Total(25000)120 0.0 0.1 0.1 0.0 0.1240 0.0 0.3 0.1 0.0 0.2120 0.0 0.1 0.2 0.0 0.1240 0.1 0.4 0.1 0.1 0.2120 0.1 0.4 0.2 0.1 0.1240 0.2 0.6 0.2 0.2 0.1120 0.0 0.2 0.2 0.0 0.1240 0.1 0.4 0.1 0.1 0.2Obviously, seasonality is captured by the model.27