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Diagnóstico de estacionalidad con X-12-ARIMA

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  • Mauricio Gallardo
  • Hernán Rubio

Abstract

Este documento es una nota metodológica orientada a ayudar a resolver dos problemas prácticos que deben enfrentar típicamente los usuarios no especializados del programa de ajuste estacional X-12-ARIMA: (i) determinar si hay evidencia estadística de la existencia de estacionalidad en la serie de tiempo estudiada y (ii) evaluar la calidad del ajuste estacional que se ha realizado. Se explica algunos de los resultados estándares del módulo X-11 del X-12-ARIMA, disponibles en varios manuales. No obstante, este documento ofrece la ventaja de ir directamente a la solución práctica de los dos puntos señalados, a través de casos prácticos y reproduciendo la construcción de los contrastes de presencia de estacionalidad y de los estadísticos de evaluación de calidad del ajuste estacional de manera simple y comprensiva.

Suggested Citation

  • Mauricio Gallardo & Hernán Rubio, 2009. "Diagnóstico de estacionalidad con X-12-ARIMA," Economic Statistics Series 76, Central Bank of Chile.
    • Handle: RePEc:chb:bcchee:76
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    References listed on IDEAS

    as
    1. Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 127-152, April.
    2. Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 169-177, April.
    3. Villarreal, Francisco G., 2005. "Elementos teóricos del ajuste estacional de series económicas utilizando X-12-ARIMA y TRAMO-SEATS," Estudios Estadísticos 4741, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
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    1. Troncoso Sepúlveda, Ricardo & Cabas Monje, Juan, 2019. "Factibilidad del uso de contratos de futuros del Chicago Mercantile Exchange para la cobertura del riesgo de precio en el ganado bovino chileno," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 90, pages 9-44, January.
    2. Carlos A. Medel V. & Michael Pedersen, 2010. "Incertidumbre en las Series Desestacionalizadas de Actividad y Demanda en Chile," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 13(1), pages 63-72, April.
    3. Marcus Cobb & Maribel Jara, 2013. "Ajuste estacional de series macroeconómicas chilenas," Economic Statistics Series 98, Central Bank of Chile.
    4. Chávez Bustamante, Felipe O. G. & Mondaca-Marino, Cristian & Rojas-Mora, Julio, 2018. "Dinámicas laborales regionales y su relevancia en el agregado nacional: Una aplicación de Clusterización de Series Temporales para Chile/Regional Labor Dynamics and their Relevance in the National Agg," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 36, pages 961-978, Septiembr.
    5. Ricardo Troncoso-Sepúlveda & Juan Cabas-Monje, 2019. "Feasibility of using futures contracts of the Chicago Mercantile Exchange for hedging price risk in Chilean cattle," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 90, pages 9-44, Enero - J.

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