An Application of TRAMO-SEATS: Model Selection and Out-of-Sample Performance: the Swiss CPI Series
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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- Agustín Maravall, 1996. "Unobserved Components in Economic Time Series," Working Papers 9609, Banco de España;Working Papers Homepage.
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- Víctor Gómez & Agustín Maravall, 1998. "Seasonal Adjustment and Signal Extraction in Economic Time Series," Working Papers 9809, Banco de España;Working Papers Homepage.
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