Is TRAMO-SEATS automatic identification of Reg-ARIMA ... - Cemfi
Is TRAMO-SEATS automatic identification of Reg-ARIMA ... - Cemfi
Is TRAMO-SEATS automatic identification of Reg-ARIMA ... - Cemfi
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Table 19:Real series: Model-diagnostics; % <strong>of</strong> series in group that pass the testn.i.i.d. assumptionOut-<strong>of</strong>-sample forecastmean = 0ConstantAutocorrelationRandomNormality Skewness Kurtosis F-test (18t-test (1mean andsignsfinalperiodvarianceperiods)ahead)60 – 110 98.7 98.1 99.5 99.5 96.2 97.4 97.6 91.6 90.6111 – 160 99.5 96.1 98.9 99.6 94.5 97.0 95.7 94.1 92.3161 – 210 99.7 94.0 97.7 99.5 92.0 96.2 93.4 93.0 89.1211 – 260 99.7 92.1 98.2 99.4 86.4 95.8 87.6 86.7 91.6261 – 360 99.9 95.1 96.6 99.1 82.5 95.1 83.2 93.7 96.7TOTAL AVERAGE 99.4 95.5 98.5 99.5 92.3 96.6 93.6 92.0 92.7361 – 600 99.4 79.1 79.3 95.3 33.8 84.4 33.2 87.1 96.641
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