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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Year of publication:	2000
Authors:	Maravall, Agustín ; Sánchez, Fernando J.
Institutions:	Banco de España
Subject:	time series \| seasonal fluctuations \| information

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Extent:	application/pdf
Series:	Banco de España Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 0014 34 pages
Classification:	C22 - Time-Series Models ; C49 - Econometric and Statistical Methods: Special Topics. Other ; C5 - Econometric Modeling ; C82 - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data ; C87 - Econometric Software ; E39 - Prices, Business Fluctuations, and Cycles. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005022281