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X-13ARIMA-SEATS Seasonal Adjustment Program

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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





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

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



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Source: U.S. Census Bureau | Center for Statistical Research and Methodology | (301) 763-1649 (or x12@census.gov) |  Last Revised: November 19, 2012