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

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:- For all groups 99%. and constant:- Success with NZ;- For all groups, success 92% (for three 95%);- substantially for NZ >360 (79%); Autocorrelation (Q):- Success with NZ (moderately);- For all groups, success 97%;- substantially for NZ > 360 (79%); Runs:- All groups 99% (96% when NZ > 360). Normality:- Success decreases rapidly with NZ.The decrease is spectacular for NZ > 360 (34% successes);- Kurtosis is the main problem;for all groups, success 83%;for 3 groups 93%.- Skewness performs better;for all groups, success 95%.43
Out-of-sample forecast tests:- F-test is performed on linearized series.- t-test is performed on original series.- NZ has little effect on the tests• F-test: % of success: 87 – 94% (Average: 92%)• t-test: % of success: 89 – 97% (Average: 92%)Notice good forecasting performance of long series.(In fact, for NZ > 360 t-test performs best.)44
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 42 and 43: Table 19:Real series: Model-diagnos
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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