Article thumbnail

Update on the Development of X-13ARIMA-SEATS

By Brian C. Monsell

Abstract

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

Topics: Disclaimer
Year: 2015
OAI identifier: oai:CiteSeerX.psu:10.1.1.544.5344
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://www.census.gov/ts/paper... (external link)
  • http://www.census.gov/ts/paper... (external link)
  • http://citeseerx.ist.psu.edu/v... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.