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

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Computational failure: 0%.Misspecification of component models: 1.2%(mostly detected when model is an approx. of a non-admissibledecomposition)Seasonality in SA series: 0%.Quality diagnostics:(if failed, series should not be SA). Unstable seasonal: 0.3%(i.e., large innovation variance) Unreliable estimator: 0.3%(i.e., large estimation error variance) Revisions are too large: 0.1%(i.e., large variance of revision error in concurrent estimator) Seasonality is not significant: 2.7%(seasonal component estimator not significant)Hence 3.3% of the SA series are not worth adjusting, even though a seasonalcomponent was detected (some 370 series).55
Back to original question: For series with NZ not longer than 30 year (monthlydata)AMI in TSW+ seems quite reliable.One last comment:In SA, long tradition of ambiguity:• Lack of precise definition of seasonality;• “wishful thinking”: how a decent seasonal componentshould be.Important example:Should a decent S(t) be NON-STATIONARY ?Stationary seasonal : each month component has 0 mean.Problem: if series is stationary, S(t) is stationary.Say,1 0.7 ) AR polynomial.• If adjusted by replacing it with 1 ) : overadjustment(misspecification);• If not adjusted: diagnostics (AC, spectrum) will say there isseasonality in SA series.Better, stick to model.As Hawking says: “there is no model-independent test of reality.”(Then, one can add “judgment.”)56
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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 54 and 55: SEATS decomposes the series into co
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Is TRAMO-SEATS automatic identification of Reg-ARIMA ... - Cemfi

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