Comparison of X-12-ARIMA Trading Day and Holiday Regressors with Country-Specific Regressors

• Activity Number: 104
• Type: Topic Contributed
• Date/Time: Monday, August 3, 2009 : 8:30 AM to 10:20 AM
• Sponsor: Business and Economic Statistics Section
• Author(s): Christopher Roberts*+ and Scott Holan and Brian C. Monsell
• Companies: University of Missouri-Columbia and University of Missouri-Columbia and U.S. Census Bureau
• Keywords: Eurostat ; Holiday effect ; Model selection ; RegARIMA model ; Trading day effect

Abstract

Several methods exist which can adjust for trading day and holiday effects in monthly economic time series. This paper reviews and compares two such methodologies for conducting proper adjustments. The two methodologies are based upon the U.S. Census Bureau's X-12-ARIMA method and one developed by the Statistical Offices of the European Communities, commonly referred to as Eurostat. Three different methods are used to compare the U.S. Census Bureau procedure and the Eurostat-inspired procedure. These methods are spectral analysis, sample-size corrected AIC comparisons, and examination of out-of-sample forecast errors. These comparisons are conducted using nearly 100 U.S. Census Bureau time series of manufacturing data, retail sales, and housing starts. This empirical study is the first of its kind and therefore provides an important contribution to the seasonal adjustment community.