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

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Table 10:Correct Identification of the ARIMA model# obs. inseriesComplete model ordersD and BDTS X12A Demetra+ TS X12A Demetra+Airline-typemodelsOther seasonalmodelsNon-seasonalmodelsTotal120 78.2 68.0 71.6 96.1 94.8 96.4240 85.7 80.1 79.9 99.3 98.9 99.3120 46.9 36.4 43.3 92.4 86.6 85.9240 71.6 48.9 66.3 97.4 87.1 88.5120 68.7 36.4 54.0 93.5 71.5 76.6240 79.5 32.6 64.5 95.7 71.6 80.4120 64.9 47.2 56.4 94.0 84.6 86.8240 78.9 54.5 70.3 97.5 86.3 89.6 Improvement in 3 groups. Very large improvement forOther SeasonalNon-seasonal29
SIMULATED SERIESIn summary, If series can be seen as generated by (relatively parsimonious) ARIMAmodel, AMI in TRAMO yields the following results:% of series withcorrect resultIdentification of the exact model: 65 – 79%Identification of the exact differencingneeded for stationarity: 94 – 98%Model diagnostics: 99%Forecasting (one-period-ahead)- all series (TERROR): 99%- 18 one-period-ahead forecasts(single series): 96 – 97.5%SEASONALITY:Correct detection of seasonality(or its lack thereof) 99.5%No seasonality in residuals 99.5%(No missed seasonality; no spurious seasonality)Automatic procedure seems to work well (at least, as a starting pointor as benchmark).30
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 26 and 27: Errors in orders of differencing Gr
Page 28 and 29: All tests are carried at the 1% (ap
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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