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Activity Number: 128
Type: Topic Contributed
Date/Time: Monday, August 3, 2009 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract - #303929
Title: Detecting Stock Calendar Effects in US Census Bureau Inventory Series
Author(s): Natalya Titova*+ and Brian C. Monsell
Companies: U.S. Census Bureau and U.S. Census Bureau
Address: 4600 Silver Hill Road, Washington, DC, 20233,
Keywords: RegARIMA model ; trading day adjustment ; moving holiday ; stock Easter effect ; spectral diagnostics
Abstract:

U.S. Census Bureau retail, wholesale, and manufacturing inventory series are evaluated for the presence of stock trading day and stock Easter effects. We are especially interested in the detection of the one-coefficient stock trading day effect described in Findley and Monsell (2009) and a stock Easter effect described in Findley (2009). Using the diagnostic capabilities of X-13A-S, we utilize likelihood statistics, spectral analysis, and forecasting diagnostics to decide whether stock regressors should be included in the models of inventory series, as well as what type of stock regressor (full implementation or one-coefficient trading day, end-of-month stock versus choosing a sample day, etc.) Results of this study are presented and discussed.

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