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

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Table 14: % Reduction in residual SE due to outliers and Calendar effectGroupDue to automatic outlierdetection and correctionDue to Calendareffect pretesting60 – 110 12.5 3.0111 – 160 12.9 9.3161 – 210 16.4 7.6211 – 260 15.3 1.8261 – 360 13.1 3.9% is computed w.r. to the complete group (including series with no outlier / nocalendar effect, for which the reduction is 0).35
Table 15: Detection of seasonalityGroupPre-tests: % of series with seasonalitySeasonal(not(by NZ)NP QS Spectrum F Overallcomponentincludingtestin AMInon-modelsignificantseasonality)60 – 110 81.1 83.3 50.9 84.6 86.0 85.1 (83.9)111 – 160 81.7 78.7 79.3 84.1 85.2 81.9 (79.7)161 – 210 87.2 85.5 83.1 89.5 90.7 87.4 (84.4)211 – 260 84.5 82.0 83.1 87.0 88.0 84.6 (80.7)261 – 360 83.2 78.2 80.0 87.8 88.8 84.4 (78.0)TOTALAVERAGE83.3 81.9 73.2 86.1 87.3 84.5 (81.8)361 – 600 62.8 61.1 62.1 61.9 64.9 63.4 (60.2) Short series: Spectrum of little use.Likely to fail when seasonality is stationary. Other groups: All are roughly close (range: 78 – 89%).F detects the most (Average: 86%), followed byNP (Average: 83%),QS (Average: 82%),Spectrum: 73%. Most reliable with simulated series: AMI result (range: 82 – 87%).If that is still true, overall test over-detects.- AMI in TRAMO will reduce it.36
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 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 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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