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-of-sample forecast- F-test failures decrease with NZ, from 5.3% to 1.1%;- t-test 1%Table 9:Seasonality and Calendar residual effects (% of residual series ingroup that show evidence)# obs. perseriesEvidence of seasonality in residualsSeasonal NonparametricSpectral Overallautocorrel.evidence testtestSpectralevidenceof 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
ONE WORD OF CAUTION:TRAMO-SEATS and TSW up to 2011:Moderate revisions to the basic programs of 1996 and 2004.In 2001: start work on new versions (considerably corrected, more complete,and extended)The results I have presented correspond to the first release of these newversions (TSW+ 555).My intention is to refer to them as TRAMO+, SEATS+, and TSW+.The TRAMO and SEATS programs made available for the routine RegARIMA inX12-ARIMA, and for X13-ARIMA-SEATS, as well as for DEMETRA+, were olderversions of the new programs.(Hopefully, they will eventually be updated, but it will take time.)Over the last two years, work on the AMI procedure.To get a feeling for the differences between the different versions, X12-ARIMA(release version 0.3, build 188) and DEMETRA+ (version 1.0.2.2228) wereapplied to the set of 50000 series and compared to the results of TSW (version555):28
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
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Page 20 and 21: Table 2:Errors in the detection-of-
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Page 24 and 25: Results: For the 25000 series with
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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
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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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