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Activity Number:
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405
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Type:
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Topic Contributed
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Date/Time:
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Wednesday, August 9, 2006 : 10:30 AM to 12:20 PM
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Sponsor:
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Business and Economics Statistics Section
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| Abstract - #305989 |
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Title:
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Issues in Identifying Easter Effects in Economic Time Series
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Author(s):
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Kellie Wills*+
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Companies:
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U.S. Census Bureau
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Address:
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520 N. Street, SW, S317, Washington, DC, 20024,
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Keywords:
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RegARIMA ; holiday ; Easter ; X-11
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Abstract:
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To decide whether the regARIMA model for an economic time series should include an Easter effect, seasonal adjusters at the U.S. Census Bureau use the AICC test in X-12-ARIMA, as well as subject matter information. However, the AICC test may be sensitive to model issues, such as incorrect trading day decisions or outliers. Series affected by Easter should show patterns of X-11 extreme values or regARIMA outliers in March and April, particularly in years when Easter falls in March, but such patterns have not been investigated systematically. This paper will investigate how the X-12-ARIMA AICC test for Easter might be combined with analysis of X-11 extreme values and regARIMA outliers for more robust Easter effect decisions. These methods will be evaluated using simulated series with known Easter effects. The paper will then examine census retail sales and manufacturing shipments series.
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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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