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

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SEATS will reduce it further (through quality control).(In particular, the seasonal component estimator may not besignificantly different from zero.)Final % of seasonal series to be adjusted is given in last column ofTable 15.37
ARIMA MODEL IDENTIFICATIONTable 16: DifferencesGroupStationary(no diff.)% of series with Airlinemodel60 – 110 31.6 21.5 0.3 4.5 40.2 1.9 31.8111 – 160 7.2 22.9 0.3 5.3 64.0 0.4 47.4161 – 210 4.0 18.5 0.2 3.1 73.9 0.4 49.6211 – 260 2.5 22.4 0.2 3.2 69.6 2.0 50.1261 – 360 2.5 21.6 0.6 1.3 72.4 1.6 47.2TOTAL AVERAGE 11.9 21.4 0.3 4.0 61.4 1.2 44.1361 – 600 0.8 35.5 7.4 1.1 45.7 13.9 14.6 % of stationary series goes (drastically) down with length. Majority of series requires . Only : % is stable for all groups. Only : few (more for large). Only : few. Only : 1.2% (more for large).38
Page 1 and 2: April 2012Is TRAMO-SEATS automatici
Page 3 and 4: TRAMO, SEATS and TSWvsTRAMO+, SEATS
Page 5 and 6: (2) Components in STSM approach: al
Page 7 and 8: Because all users need not be model
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: Table 15: Detection of seasonalityG
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

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

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