Abstract #300861

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JSM 2003 Abstract #300861
Activity Number: 75
Type: Topic Contributed
Date/Time: Monday, August 4, 2003 : 8:30 AM to 10:20 AM
Sponsor: Business & Economics Statistics Section
Abstract - #300861
Title: Generalizations of the Box-Jenkins Airline Model with Frequency-Specific Seasonal Factors
Author(s): Kellie C. Wills*+ and John Aston and David F. Findley
Companies: U.S. Census Bureau and NISS/U.S. Census Bureau and U.S. Census Bureau
Address: 510 N St. SW, Washington, DC, 20024,
Keywords: model-based seasonal adjustment ; ARIMA modeling
Abstract:

The Box-Jenkins "airline" model is the most widely used ARIMA model for seasonal time series. However, its "seasonal" moving average factor models both seasonal and nonseasonal components, making its coefficient perform two different tasks. Findley, Martin and Wills (2002) previously examined a generalization of the airline model with a more restricted seasonal moving average factor, modeling only seasonal effects and with a second-order nonseasonal moving average factor. We further generalize the seasonal part of the model to consist of seasonal factors associated with specific seasonal frequencies (1, 2, 3, 4, 5 or 6 cycles per year) or combinations of these frequencies. The most general of these models has a separate seasonal factor for each frequency. Of particular interest are the properties of model-based seasonal adjustment filters obtained from the new models. We also consider model and seasonal adjustment diagnostics obtained from series for which AIC prefers one of the new models over the airline model.

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