Modeling Stock Trading Day Effects Under Flow Day-of-Week Effect Constraints

David F. Findley⁽¹⁾, Brian C. Monsell⁽²⁾

ABSTRACT:

By deriving an invertible linear relation between stock and flow trading day regression coefficients, we show 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 used in X-12-ARIMA. As an application, a new one-coefficient stock trading day model is derived from the constraints that give rise to the one-coefficient weekday-weekend-contrast flow trading day model of TRAMO and X-12-ARIMA. We present summary results and some details of a quite successful application of the new model to the manufacturers' inventory series of the U.S. Census Bureau's M3 Survey.

KEYWORDS:

Time series; RegARIMA models; Seasonal adjustment; Trading day adjustment; X-12-ARIMA; X-13A-S; M3 Survey

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⁽¹⁾ David F. Findley is Senior Mathematical Statistican for Time Series, U. S. Census Bureau, 4600 Silver Hill Road, Washington, DC 20233. email : david.f.findley@census.gov

⁽²⁾ Brian C. Monsell is Mathematical Statistician, Statistical Research Division, U.S. Census Bureau, 4600 Silver Hill Road, Washington, DC 20233. email : brian.c.monsell@census.gov

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

Maintained by : Brian C. Monsell brian.c.monsell@census.gov
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