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

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Thus I consider the AMB approach as enforced in TRAMO-SEATS and TSW.DATAAMIMODELMODEL IS DECOMPOSEDMMSE FILTERSJOINT DISTRIBUTION OFCOMPONENTS ANDESTIMATORSADJUSTED DATAINFERENCE ANDDIAGNOSISEverything depends on finding an appropriate model.How to judge whether a model is appropriate? : ~ . . . . 0, Validity of estimators, some diagnostics, and most inference depend on notrejecting .5
Page 1: April 2012Is TRAMO-SEATS automatici
Page 5: (2) Components in STSM approach: al
Page 9 and 10: Important model:Seasonal series:Air
Page 11 and 12: Series simulated from n.i.i.d. (0,1
Page 13 and 14: B. NON-SEASONAL MODELS (8000 series
Page 15 and 16: C. OTHER SEASONAL MODELS (8500 seri
Page 17 and 18: The complete set contains many mode
Page 19 and 20: Table 1:Errors in Log/Level test (i
Page 21 and 22: Pre-test and final detection of sea
Page 23 and 24: Table 4:ARIMA model correct identif
Page 25 and 26: Table 6:Errors in differencing poly
Page 27 and 28: Table 8:Simulated series: model dia
Page 29 and 30: ONE WORD OF CAUTION:TRAMO-SEATS and
Page 31 and 32: SIMULATED SERIESIn summary, If seri
Page 33 and 34: Table 11: GeneralGroup# observ-Aver
Page 35 and 36: Table 12: OutliersGroup (by NZ)% of
Page 37 and 38: Table 15: Detection of seasonalityG
Page 39 and 40: ARIMA MODEL IDENTIFICATIONTable 16:
Page 41 and 42: Table 18:Real series: Model diagnos
Page 43 and 44: Model diagnostics All tests carried
Page 45 and 46: Out-of-sample forecast tests:- F-te
Page 47 and 48: %4846444240383634323028262422201816
Page 49 and 50: %2827262524232221201918171615141312
Page 51 and 52: Comparing the results for the simul
Page 53 and 54: Table 21: Features of decomposition
Page 55 and 56: Table 22:Decomposition failures (1)
Page 57:
Back to original question: For seri
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Is TRAMO-SEATS automatic identification of Reg-ARIMA ... - Cemfi

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