Model-Based Signal Extraction Diagnostic Tests
KEY WORDS: ARIMA model, Seasonal adjustment, Filtering, Central limit theorem.
A model-based diagnostic test for signal extraction was first described in Maravall (2003), and
this basic idea was modified and studied in Findley, McElroy, and Wills (2004). The paper at
hand improves on the latter work in two ways: central limit theorems for the diagnostics are
developed, and two hypothesis-testing paradigms for practical use are explicitly described. A
further modified diagnostic provides an interpretation of one-sided rejection of the Null Hypothesis
, yielding general notions of "over-modeling" and "under-modeling." The new methods are
demonstrated on two U.S. Census Bureau time series exhibiting seasonality.
Source: U.S. Census Bureau, Statistical Research Division
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