JSM 2005 - Toronto

Abstract #302934

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Legend: = Applied Session, = Theme Session, = Presenter
Activity Number: 399
Type: Contributed
Date/Time: Wednesday, August 10, 2005 : 10:30 AM to 12:20 PM
Sponsor: Business and Economics Statistics Section
Abstract - #302934
Title: Issues in Estimating Easter Regressors Using regARIMA Models with X-12-ARIMA
Author(s): Brian C. Monsell*+ and David Findley and Kellie Wills
Companies: U.S. Census Bureau and U.S. Census Bureau and Corporate Executive Board
Address: 4700 Silver Hill Road, Washington, DC, 20912-9100,
Keywords: moving holiday effects ; revisions ; outliers ; seasonal adjustment ; likelihood statistics
Abstract:

The most common moving holiday effect found in the U.S. economic flow series is the Easter holiday effect. This study seeks to provide guidance for practical concerns analysts have when including Easter regression effects in regARIMA models for economic time series. We show how many years of data are needed to detect Easter holiday effects with high reliability and generate useful estimates of the Easter effect (i.e., estimates that improve the seasonal adjustment). We also examine the performance of the Easter AICC test incorporated into X-12-ARIMA and show how often X-12-ARIMA produces "false positives" (i.e., selects an Easter effect when none exists), the impact of March and April outliers on the number of false positives, how often the Easter effect length is misidentified, and how the estimation of trading day effects affect Easter effect detection. We use simulated series with Easter effects constructed to conform to the models assumed by X-12-ARIMA in this study. In addition, we examine alternate models for Easter effects, specifically those that incorporate Easter Monday into the Easter effect.

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Revised March 2005