An Application of TRAMO-SEATS: Model Selection and Out-of-Sample Performance: the Swiss CPI Series
AbstractThis paper applies the programs TRAMO and SEATS to seasonal adjustment of the monthly Consumer Price Index Swiss series. It is shown how the results of the purely automatic procedure can be improved with two simple modifications: one that emerges from the TRAMO-SEATS diagnostics, and another that uses "a-priori" information. In particular, the SEATS output is used to select a model among the ones that are equally compatible with the sample.
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Bibliographic InfoPaper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 0014.
Length: 34 pages
Date of creation: 2000
Date of revision:
time series; seasonal fluctuations; information;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
- E39 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Other
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- Aslihan Atabek & Oguz Atuk & Evren Erdogan Cosar & Cagri Sarikaya, 2009. "Mevsimsel Modellerde Calisma Gunu Degiskeni," CBT Research Notes in Economics 0903, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Oguz Atuk & Beyza Pinar Ural, 2002. "Seasonal Adjustment Methods : An Application to the Turkish Monetary Aggregates," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 2(1), pages 21-37.
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