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Abstract Details
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Activity Number:
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246
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Type:
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Contributed
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Date/Time:
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Monday, August 1, 2011 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #301456 |
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Title:
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Experiences with User-Defined Regressors for Seasonal Adjustment
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Author(s):
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Catherine Hood*+ and Roxanne Feldpausch
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Companies:
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Catherine Hood Consulting and Catherine Hood Consulting
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Address:
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1090 Kennedy Creek Rd., Auburntown, TN, 37016,
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Keywords:
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X-12-ARIMA ;
moving holiday effects ;
trading day effects
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Abstract:
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The U.S. Census Bureau's X-12-ARIMA has built-in regressors for some U.S. holidays and several types of trading day effects. However, there are many other effects that are not built-in. User-defined regressors are useful to estimate moving holidays not included in X-12-ARIMA, custom Easter effects, and custom trading day effects.
Unfortunately, many users do not take the time to create their own regressors. The Census Bureau provides a program called GENHOL to help users generate their own holiday effects; however, this program can be daunting to users who prefer point-and-click software interfaces. We have written a user-friendly program that assists in defining regressors by including many built-in holidays, a flexible number of days before and after the holiday, and different kinds of one-variable trading day effects. We demonstrate the value of seasonal adjustments that include custom holiday and trading day regressors.
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