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

More documents

Recommendations

Info

OutliersResidual Autocorrelation%3836343230282624222018Mean 1,64% / 100.0109,598,587,576,565,554,5Mean Df 24,57164143,5123102,58261,54210,5> 60.00000 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28# Outliers/Series01,5 4,5 7,5 10,5 15,0 19,5 24,0 28,5 33,0 37,5 42,0 46,5 51,0 55,5 60,0Q-Stat.1514,51413,51312,51211,5% / 100.01110,5109,598,587,576,565,554,543,532,521,5RANDOMNESS in Sign of Residuals (t-value)Mean 0,001% 0,5Run < -4.1% Run > 4.10-3,9 -3,3 -2,7 -2,1 -1,5 -0,9 -0,3 0,1 0,5 0,9 1,3 1,7 2,1 2,5 2,9 3,3 3,7RANDOMNESS% / 100.08,587,576,565,554,543,532,521,510,5% w ith SK < -4.10SKEWNESS of Residuals (t-value)Mean 0,03% w ith SK > 4.1-3,9 -3,3 -2,7 -2,1 -1,5 -0,9 -0,3 0,3 0,7 1,1 1,5 1,9 2,3 2,7 3,1 3,5 3,9SKEWNESS47
%282726252423222120191817161514131211109876543210Mean 2,47Outliers0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18# Outliers/Series% / 100.0109,598,587,576,565,554,543,532,521,510,5Residual AutocorrelationMean Df 24,89> 60.00001,5 4,5 7,5 10,5 15,0 19,5 24,0 28,5 33,0 37,5 42,0 46,5 51,0 55,5 60,0Q-Stat.RANDOMNESS in Sign of Residuals (t-value)SKEWNESS of Residuals (t-value)1413,5% / 100.01312,51211,51110,5109,598,587,576,565,554,543,532,521,51% 0,5Run < -4.10Mean -0,05-3,9 -3,3 -2,7 -2,1 -1,5 -0,9 -0,3 0,1 0,5 0,9 1,3 1,7 2,1 2,5 2,9 3,3 3,7RANDOMNESS% Run > 4.1% / 100.07,576,565,554,543,532,521,510,5% w ith SK < -4.10Mean 0,11% w ith SK > 4.1-3,9 -3,3 -2,7 -2,1 -1,5 -0,9 -0,3 0,3 0,7 1,1 1,5 1,9 2,3 2,7 3,1 3,5 3,9SKEWNESS48
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 44 and 45: :- For all groups 99%. and con
Page 46 and 47: OutliersResidual Autocorrelation116
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

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?