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An Application of TRAMO-SEATS: Model Selection and Out-of-Sample Performance: the Swiss CPI Series

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Author Info

  • Agustín Maravall

    ()
    (Banco de España)

  • Fernando J. Sánchez

    ()
    (Banco de España)

Abstract

This 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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File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/00/Fic/dt0014e.pdf
File Function: First version, 2000
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Bibliographic Info

Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 0014.

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Length: 34 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:bde:wpaper:0014

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Keywords: time series; seasonal fluctuations; information;

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References

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  1. David A. Pierce, 1978. "Seasonal adjustment when both deterministic and stochastic seasonality are present," Special Studies Papers 107, Board of Governors of the Federal Reserve System (U.S.).
  2. Maravall, Agustin, 1987. "Minimum Mean Squared Error Estimation of the Noise in Unobserved Component Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(1), pages 115-20, January.
  3. David A. Pierce, 1978. "Seasonal Adjustment When Both Deterministic and Stochastic Seasonality Are Present," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 242-280 National Bureau of Economic Research, Inc.
  4. Víctor Gómez & Agustín Maravall, 1998. "Seasonal Adjustment and Signal Extraction in Economic Time Series," Banco de Espa�a Working Papers 9809, Banco de Espa�a.
  5. Agustín Maravall, 1996. "Unobserved Components in Economic Time Series," Banco de Espa�a Working Papers 9609, Banco de Espa�a.
  6. Víctor Gómez & Agustín Maravall, 1998. "Automatic Modeling Methods for Univariate Series," Banco de Espa�a Working Papers 9808, Banco de Espa�a.
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Cited by:
  1. Meltem Gulenay Ongan, 2002. "The Seasonal Adjustment of the Consumer and Wholesale Prices : a Comparison of Census X-11, X-12 Arima and Tramo/Seats," Working Papers 0205, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  2. 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.
  3. 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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