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

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SEASONALITY AND SEASONAL ADJUSTMENTTable 20:Seasonality and Calendar residual effects (% of residual series ingroup that show evidence)Group (by NZ) Evidence of seasonality SpectralSeasonalNon-SpectralOverallevidence of TDautocorrel.parametricevidencetesteffect intestresiduals60 – 110 0.1 0.4 0.1 0.1 0.0111 – 160 0.1 2.9 0.4 0.1 0.4161 – 210 0.2 3.9 0.3 0.2 3.5211 – 260 0.1 3.9 0.2 0.2 0.8261 – 360 0.3 7.1 0.4 0.4 1.3TOTAL AVERAGE 0.1 2.9 0.3 0.2 1.1361 – 600 0.8 7.0 0.2 0.8 5.3 Detection-of-seasonality test applied to residuals.- AC: 1 or 2 in 1000 series.- Spectral: Slightly above AC test;Still, 99.5% of residual series show no evidence.- NP, however, detects seasonality in the range 0.4 7% ofseries, % increases with NZ.- Overall test: 99.5% of residuals show no evidence. TD: Spectral evidence in residuals.A peak for intermediate length group (3.5%).Rest 1%.51
Table 21: Features of decompositionMODEL CHANGEDBY SEATSGroupNon-OtherWithWithWith(by NZ)Admissibleseasonaltransitorystochasticdecomp.componentcomponentTD60 – 110 3.7 1.2 85.1 26.3 0.2111 – 160 2.5 1.4 81.9 23.4 2.2161 – 210 3.7 1.3 87.4 24.4 3.3211 – 260 4.3 1.3 84.6 24.2 1.3261 – 360 3.9 0.7 84.4 28.8 1.5TOTAL 3.4 1.3 84.5 24.9 1.7361 – 600 17.5 11.0 63.4 41.4 4.9What SEATS does with these models: TRAMO model has no admisible decomposition(i.e., model is changed):- Around 3.4% of series(not much affected by NZ). TRAMO model changed to improve decomposition features- Around 1.25% of series(not much affected by NZ).52
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 48 and 49: OutliersResidual Autocorrelation%38
Page 50 and 51: %2625242322212019181716151413121110
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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