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Comparison of X-12-ARIMA Trading Day and Holiday Regressors With Country Specific Regressors

Christopher G. Roberts, Scott H. Holan, and Brian Monsell

KEY WORDS: Eurostat; Holiday effect; Model selection; RegARIMA model; Trading day effect; X-12-ARIMA.

ABSTRACT

Several methods exist which can adjust for trading day and holiday effects in monthly economic time series. This paper reviews and compares two such methodologies for conducting proper adjustments. The two methodologies are based upon the U.S. Census Bureau's X-12-ARIMA method and one developed by the Statistical Offices of the European Communities, commonly referred to as Eurostat. Three dfferent methods are used to compare the U.S. Census Bureau procedure and the Eurostat-inspired procedure. These methods are spectral analysis, sample- size corrected AIC comparisons, and examination of out-of-sample forecast errors. Finally, these comparisons are conducted using nearly 100 U.S. Census Bureau time series of manufacturing data, retail sales, and housing starts. This empirical study is the first of its kind and therefore provides an important contribution to the seasonal adjustment community.

CITATION: Roberts, Christopher G., Scott H. Holan, and Brian Monsell. (2009). Comparison of X-12-ARIMA Trading Day and Holiday Regressors With Country Specific Regressors. Statistical Research Division Research Report Series (Statistics #2009-07). U.S. Census Bureau. Available online at <http://www.census.gov/srd/papers/pdf/rrs2009-07.pdf>.

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

Published online: October 19, 2009
Last revised: October 8, 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