Modeling Stock Trading Day Effects
Under Flow Day-of-Week Constraints
David F. Findley
KEY WORDS: Time series; Trading day adjustment; One-coefficient stock trading day model
From an invertible linear relation between stock and flow trading day regression coefficients that is derived, it is shown how flow day-of-week effect constraints can be imposed upon the day-of-week effect component of the stock trading day model of Bell (1984) used in X-12-ARIMA. We illustrate the use of the general formulas obtained by deriving the one-coefficient stock regression model determined by the constraints that give rise to the one-coefficient weekday-weekend-contrast flow trading day model of TRAMO and X-12-ARIMA.
Source: U.S. Census Bureau, Statistical Research Division
Created: September 19, 2006
Last revised: September 19, 2006
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