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Detecting Stock Calendar Effects in U.S. Census Bureau Inventory Series

Natalya Titova and Brian Monsell

KEY WORDS: RegARIMA model, trading day adjustment, moving holiday, stock Easter effect, spectral diagnostics.

ABSTRACT

U.S. Census Bureau retail, wholesale, and manufacturing inventory series are evaluated for the presence of stock trading day and stock Easter effects. We are especially interested in the detection of the onecoefficient stock trading day effect described in Findley and Monsell (2009) and a stock Easter effect described in Findley (2009). Using the diagnostic capabilities of X-13A-S, we utilize likelihood statistics, spectral analysis, and forecasting diagnostics to decide whether stock regressors should be included in the models of inventory series, as well as what type of stock regressor (full implementation or onecoefficient trading day, end-of-month stock versus choosing a sample day, etc.) Results of this study are presented and discussed.

CITATION: Titova, Natalya and Monsell, Brian. (2009). Detecting Stock Calendar Effects in U.S. Census Bureau Inventory Series. Statistical Research Division Research Report Series (Statistics #2009-06). U.S. Census Bureau. Available online at <http://www.census.gov/srd/papers/pdf/rrs2009-06.pdf>.

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

Published online: September 29, 2009
Last revised: September 25, 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