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

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Table 19:Real series: Model-diagnostics; % of series in group that pass the testn.i.i.d. assumptionOut-of-sample forecastmean = 0ConstantAutocorrelationRandomNormality Skewness Kurtosis F-test (18t-test (1mean andsignsfinalperiodvarianceperiods)ahead)60 – 110 98.7 98.1 99.5 99.5 96.2 97.4 97.6 91.6 90.6111 – 160 99.5 96.1 98.9 99.6 94.5 97.0 95.7 94.1 92.3161 – 210 99.7 94.0 97.7 99.5 92.0 96.2 93.4 93.0 89.1211 – 260 99.7 92.1 98.2 99.4 86.4 95.8 87.6 86.7 91.6261 – 360 99.9 95.1 96.6 99.1 82.5 95.1 83.2 93.7 96.7TOTAL AVERAGE 99.4 95.5 98.5 99.5 92.3 96.6 93.6 92.0 92.7361 – 600 99.4 79.1 79.3 95.3 33.8 84.4 33.2 87.1 96.641
Model diagnostics All tests carried at the (approx.) 99% level. Two types of tests:- Residuals are n.i.i.d.• Normally distributed N, Sk, Kur;• Identically 0; Constant and .• Independently Q; runs.- Out-of-sample forecasts:• Model fit to first (NZ – 18) obs. and 1 p.a. forecast errorsrecursively computed for last 18 obs. F-test.• Compute standardized 1 p.a. forecast errors for the 13691series and compare size (option TERROR: “TRAMO forerrors”).42
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 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 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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