JSM 2005 Online Program

Abstract #303910

This is the preliminary program for the 2005 Joint Statistical Meetings in Minneapolis, Minnesota. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 7-10, 2005); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

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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 - #303910
Title:	Comparing the Automatic ARIMA Model Selection Procedures of X-12-ARIMA Versions 0.2 and 0.3
Author(s):	Ayonda Dent*+ and Kathleen M. McDonald-Johnson and Catherine H. Hood and Roxanne Feldpausch
Companies:	U.S. Census Bureau and U.S. Census Bureau and U.S. Census Bureau and U.S. Census Bureau
Address:	Building 4 room 3112, Washington, DC, 20233, United States
Keywords:	time series ; seasonal adjustment ; Reg ARIMA model diagnostics
Abstract:	The U.S. Census Bureau is in the process of moving to a different ARIMA-model selection procedure for the X-12-ARIMA software. In X-12-ARIMA Version 0.2 and before, the procedure is similar to the procedure in Statistics Canada's X-11-ARIMA. X-12-ARIMA Version 0.3 incorporates a new procedure based on the automatic model selection procedure of TRAMO, a program developed by Victor Gómez and Agustín Maravall. The new procedure in Version 0.3 has a broader range of models to choose from, and we expect Version 0.3 to fit models to a wider range of series. The new procedure also has more options than in previous versions and more options than now exist in TRAMO. To compare the automatic modeling procedures, we will model a large group of U.S. Census Bureau series, including U.S. Imports, Exports, and Retail Sales series. We will compare models using diagnostics such as the spectral peaks, forecast errors, Ljung-Box Q statistics, and the AICC. The goal of our research is not only to show which procedure performs better, but also to give analysts guidance on the various options available in the new procedure.

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