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
You also want an ePaper? Increase the reach of your titles
YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.
SIMULATED SERIESIn summary, If series can be seen as generated by (relatively parsimonious) <strong>ARIMA</strong>model, AMI in <strong>TRAMO</strong> yields the following results:% <strong>of</strong> series withcorrect resultIdentification <strong>of</strong> the exact model: 65 – 79%Identification <strong>of</strong> 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 <strong>of</strong> seasonality(or its lack there<strong>of</strong>) 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
Change language