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Activity Number:
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444
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Type:
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Invited
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Date/Time:
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Wednesday, August 5, 2009 : 10:30 AM to 12:20 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #303220 |
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Title:
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Stock Series Holiday Regressors Generated by Flow Series Regressors
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Author(s):
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David Findley*+
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Companies:
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U.S. Census Bureau
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Address:
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, Washington, DC, 20007,
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Keywords:
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Stock time series ; Seasonal adjustment ; Calendar effects ; Moving holidays
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Abstract:
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We use the perspective of stocks as accumulations of monthly flows to derive holiday regressors for end of month stock time series from cumulative sums of flow series holiday regressors, giving special attention to flow regressor properties that yield simple formulas for the stock regressors. Some empirical results are shown for the new stock. Easter holiday effect regressors so obtained, which have been implemented in a developmental version of X-13-ARIMA-SEATS.
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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