Naoto Kunitomo (Faculty of Economics, University of Tokyo) Makoto Takaoka (Graduate School of Economics, University of Tokyo)
Abstract
In the recent X-12-ARIMA program developed by the United States Census Bureau for seasonal adjustments,the RegARIMA modeling has been extensively utilized.We shall discuss some problems in the RegARIMA modeling when the time series are realizations ofnon-stationary integrated stochastic processes.We propose to use the seasonal switching autoregressive moving average (SSARMA) model and the regression SSARMA (RegSSARMA)model to cope with seasonalities commonly observed in many economic time series.
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Publisher Info
Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number
CIRJE-F-146.
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