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Abstract Details
Activity Number:
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450
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Type:
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Topic Contributed
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Date/Time:
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Wednesday, August 1, 2012 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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Abstract - #304294 |
Title:
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Evaluating AICC Tests in X-13Arima-Seats
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Author(s):
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Brian Monsell*+
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Companies:
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U.S. Census Bureau
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Address:
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4600 Silver Hill Road, Washington, DC, 20233-9100, United States
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Keywords:
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regARIMA modeling ;
model identification ;
calendar regressors
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Abstract:
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The X-12-ARIMA seasonal adjustment program has long had automated procedures for selecting trading day, holiday and user-defined regressors using AICC. For Easter, selection involves multiple comparisons: a regARIMA model with no Easter regressor and three regARIMA models with different Easter regressors are compared with one another. Previous research showed that the automatic procedure selects a model with an Easter regressor too often. We present the results of a new study and propose modifications of the automatic regressor selection procedure to reduce type I errors. The modified procedure will be implemented in a future release of the Census Bureau's X-13ARIMA-SEATS program, the current release of which is intended to supersede X-12-ARIMA. The new study, based mainly on simulations, considered calendar regressors for stock series in addition to the flow series regressors considered previously.
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Authors who are presenting talks have a * after their name.
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