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Stock Series Holiday Regressors Generated By Flow Series Holiday Regressors

David F. Findley

KEY WORDS: Stock time series; Inventory series; Seasonal adjustment; Calendar effects; Moving holidays; Forecasting, X-13-ARIMA-SEATS.

ABSTRACT

Stock economic time series such as end-of-month inventories arise from a succession of monthly inflows and outflows, i.e., from an accumulation of monthly net flows. We use the perspective of stocks as accumulations of monthly flows to derive holiday regressors for end-of-month stock series from cumulative sums of flow series holiday regressors. Our focus is on common flow holiday regressor properties that yield simple formulas for the stock regressors. The resulting regressors seem to be the first holiday regressors for stock series. Stock Easter holiday effect regressors obtained in this way have been implemented in X-13-ARIMA-SEATS. Empirical results are shown from their application to U.S. manufacturing inventory series from the M3 Survey.

CITATION: Findley, David F. (2009). Stock Series Holiday Regressors Generated By Flow Series Holiday Regressors. Statistical Research Division Research Report Series (Statistics #2009-04). U.S. Census Bureau. Available online at <http://www.census.gov/srd/papers/pdf/rrs2009-04.pdf>.

Source: U.S. Census Bureau, Statistical Research Division

Published online: April 30, 2009
Last revised: April 27, 2009


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Source: U.S. Census Bureau | Statistical Research Division | (301) 763-3215 (or chad.eric.russell@census.gov) |   Last Revised: October 08, 2010