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

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SEATS decomposes the series into components. The trend-cycle andirregular components are present 99% of the time.Seasonal component: around 85% of the series(not much affected by NZ).Transitory component: around 25% of the series(not much affected by NZ).Stochastic TD: around 2% of the series(only when a deterministic TD has been detected).SEATS will point to problems that may arise in the series decomposition.53
Table 22:Decomposition failures (1) Seasonal component: Quality diagnostics (2)Error inACF-CCF Seasonality inUnstableUnreliableRevisionSeasonalityUnacceptablespectralSA series (AC,seasonal (largeestimator (largeis toonotseasonalfactorizationNP, or SPEC)innovationestimationlargesignificant(Total)variance)error)60 – 110 0 1.1 0 0.8 0.6 0.1 1.1 2.7111 – 160 0 0.8 0 0.2 0.1 0.1 2.2 2.6161 – 210 0 1.4 0 0.1 0.1 0.1 3.0 3.2211 – 260 0 1.3 0 0 0.2 0.1 3.9 4.1261 – 360 0 2.6 0 0 0.3 0 6.5 6.8TOTAL 0 1.2 0 0.3 0.3 0.1 2.7 3.3361 – 600 0 3.2 0 0 0.8 0 7.8 11.8(1) Percentage of total number of series (13164)(2) Percentage of total SA series (11127)54
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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 52 and 53: SEASONALITY AND SEASONAL ADJUSTMENT
Page 56 and 57: Computational failure: 0%.Misspecif
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Is TRAMO-SEATS automatic identification of Reg-ARIMA ... - Cemfi

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