JSM 2004 - Toronto

Abstract #301143

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Activity Number: 329
Type: Topic Contributed
Date/Time: Wednesday, August 11, 2004 : 10:30 AM to 12:20 PM
Sponsor: Business and Economics Statistics Section
Abstract - #301143
Title: Model Simplification after the Automatic Modeling Procedure of X-12-ARIMA 0.3
Author(s): Kathleen M. McDonald-Johnson*+ and Catherine Hood and Roxanne Feldpausch
Companies: U.S. Census Bureau and U.S. Census Bureau and U.S. Census Bureau
Address: ESMPD / TSMS, Washington, DC, 20233-6200,
Keywords: regARIMA model ; seasonal adjustment ; time series
Abstract:

The automatic modeling procedure of X-12-ARIMA version 0.3 is based on the automatic modeling procedure of TRAMO. At the U.S. Census Bureau, we use automatic modeling to help identify regARIMA models for forecast extension and estimating regression effects. The automatic procedure may identify mixed models that are generally too complicated for a concurrent adjustment production setting. We present the results of a study comparing the performance of the automatically identified model to a possibly simplified version of the model and to an airline model. We compared models using goodness-of-fit diagnostics, within-sample and out-of-sample forecasts, and revision history diagnostics.

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