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Update on the Development of X-13ARIMA-SEATS

By Brian C. Monsell


This paper provides an update to Monsell (2007) to give details of new features found in the current prototype of X-13ARIMA-SEATS, a seasonal adjustment program that allows the user to produce either an X-11 or a SEATS seasonal adjustment. These features include expanded options for gener-ating spectral diagnostics, improved model-based seasonal adjustment diagnostics, an AICC based test for length of month regressors, a new regressor for end-of-month stock Easter based on Findley (2009), a technique for specifying groupings for user defined holiday regressors, and a new regres-sion testing procedure based on the chi-square statistic for determining if regression groups should be included in the regARIMA model. Key Words: RegARIMA models; stock holiday models; spectral diagnostics; likelihood diagnos-tics; model based signal extraction

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Year: 2015
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