Abstract Details
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Activity Number:
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24
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Type:
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Topic Contributed
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Date/Time:
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Sunday, August 4, 2013 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #308138 |
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Title:
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Comparing Automatic Modeling Procedures for TRAMO+ and X-13ARIMA-SEATS
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Author(s):
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Brian C. Monsell*+
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Companies:
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U.S. Census Bureau
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Keywords:
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ARIMA models ;
simulation ;
unit roots ;
likelihood statistics ;
automatic model selection
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Abstract:
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The Census Bureau's X-13ARIMA-SEATS seasonal adjustment and modeling software has long had an implementation of an automatic model identification procedure first developed by Victor Gomez and Augostin Maravall in the TRAMO time series modeling software of the Bank of Spain. Recently, the Bank of Spain developed and released a new version of the TRAMO software called TRAMO+ with an updated model identification procedure. This paper will apply the two methods on a number of simulated series generated from various ARIMA models to determine if the automatic model identification procedure in TRAMO+ gives improved results over what is currently in X-13ARIMA-SEATS.
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Authors who are presenting talks have a * after their name.
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