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Activity Number: 450
Type: Topic Contributed
Date/Time: Wednesday, August 1, 2012 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract - #304294
Title: Evaluating AICC Tests in X-13Arima-Seats
Author(s): Brian Monsell*+
Companies: U.S. Census Bureau
Address: 4600 Silver Hill Road, Washington, DC, 20233-9100, United States
Keywords: regARIMA modeling ; model identification ; calendar regressors

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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