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Activity Number: 444
Type: Invited
Date/Time: Wednesday, August 5, 2009 : 10:30 AM to 12:20 PM
Sponsor: Business and Economic Statistics Section
Abstract - #303097
Title: Automatic Model Identification of Many Series with Program TSW: Aggregate Results
Author(s): Agustin Maravall*+
Companies: Bank of Spain
Address: Alcala 48, Madrid, 28036, Spain
Keywords: seasonal adjustment ; ARIMA models ; automatic modelling ; TRAMO-SEATS ; time series
Abstract:

The paper presents an overview of the methodology behind program TSW and an application to a set of 500 monthly European export series. TSW is a Windows interface of programs TRAMO and SEATS. The program estimates a general regression-ARIMA model; from the model identified for the series, filters -that provide the MMSE estimators (and forecasts) of the trend, seasonal, calendar, transitory, and noise components in the series- are derived. The paper presents the aggregate results having to do with model identification, obtained for the full set of series, when a purely automatic procedure is applied.

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