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 imporved with two simple modifications: one that emerges form 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 equallu compatible with the sample.

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Year of publication:	2000
Authors:	Maravall, A. ; Sanchez, F.J.
Subject:	TIME SERIES \| SEASONAL FLUCTUATIONS \| INFORMATION

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Type of publication:	Book / Working Paper
Notes:	37 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/10005618404